The X-Files is my favorite TV show of all time. Equally cheesy and classy, believable and supernatural, the X-Files is a show that has permanently shaped the way I see other sci-fi shows... and hardly any of them can compare to the sheer greatness of the X-Files.
There is a continual storyline dealing with aliens, the government, hoaxes and a bunch of other stuff, and that's what is considered "mythology". There are also "monster of the week" episodes that are just 44 minute stand alone episodes that deal with supernatural stuff. The stuff in those mythos DVD boxsets are just the "real story" from the X-Files in cut-and-dry form, but missing out on the MOTW episodes is an injustice.
I will say that in order to form a true opinion of the show, you need to see the first four seasons or so; that should be enough to dictate whether you'd want to pursue on and see the rest of the episodes. I say four seasons because the first season is kinda cheesy, and the series starts to really find its feet near the end of the second season. The third has some of the best mythology episodes and the fourth is a very well-rounded package of story and scares (as well as a really funny episode or two).
I have seen every X-File episode at least twice, with some being closer to the twenty count. But... yeah. Give the first couple of seasons a test run and see how you like 'em. There are some "WTF" moments in the mytharc, and some contradictions here and there, but that shit happens no matter where you look. Some fans found the later seasons to be disappointing, but I feel that the sixth season was ok, the seventh bunk, and the last two to be great... but I assure you, that's a minority's opinion. I'm curious to see what you think, Angie.
EDIT: Just to clarify, the mythology episodes are not separate from the main seasons; one out of every three episodes or so during the season deals with the mythology of the show. Those mythology DVD sets just take the "best of" episodes and put them in chronological order.