"Blessing Way" is about loss and sacrifice. Scully loses her partner and her job; Mulder loses his father and nearly loses his life. Both of them are stripped down to the bedrock of commitment: who do you believe? Who do you trust? Who do you believe in? Surrounded by hostility and deception, Scully turns as cold and hard as ice. Even a precious scene with Frohike cannot soften her to human warmth again. Fear and isolation are turning her into a female counterpart of Mr. X: suspicious, jumpy, and unhappy. We see relatively little of Mulder in "Blessing Way", as the middle act does for Scully what the first act did for him: depriving her of all support, to hang alone and defenseless in the howling dark.
I could have done without the over narration by Albert Hosteen though. His dialogue, along with that of Bill Mulder and Deep Throat in the dream sequence, borders on the pretentious. The image of the white buffalo calf was wasted. Its importance as a symbol and its relevance to either plot or subtext was never brought out. An image is effective because it speaks beyond its surface meaning to an unconscious recognition we can never precisely explain.
Also, failing to explain Mulder's escape from the boxcar in part one of this story-arc is almost unforgivable. While I can speculate on tunnels, secret compartments, or teleportation, there comes a point where some questions simply must be answered.
That being said, I absolutely loved the ending to this episode. It is my favorite cliffhanger in X-Files history. Scully and Skinner pointing their guns at one another. I still remember the first time I saw it. It's so well exectued that it makes up for almost any flaw in the storyarc. Of which there are few.