I have watched seasons 1-5 of the X-Files. In the first episode of season 6, the intro shows scenes from the end of season 5 and what I guess is "The X-Files" movie.
Do I need to watch the movie before season 6 for it to make sense?
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I don't want to give away the reasons why as it would include spoilers, but yes you should watch the movie before watching Season 6 as there is continuity from the movie into Season 6.
Hopefully this is not too much of a spoiler but I'll block it out just in case you want to avoid it all together.
The movie shows a characteristic of the black oil that explains where greys come from, and the main "creature" from the movie shows up in the first episode of Season 6.