Krycek first appears on the episode Sleepless in season 2. However, the first appearance of the actor who plays Krycek, Nicholas Lea, first appeared in the episode Gender Bender in season 1.
The song is "Come And Go With Me To That Land". According to the credits it is arranged and produced by Maggie Wheeler. It is actually performed by Jesse L. Martin who plays Josh Exley in the episode.
"Wonderful! Wonderful!" by Johnny Mathis
Barcarolle (June) by Russian composer Pyotr Ilyich Tchaikovsky. It is the 6th in a set of 12 short character pieces for solo piano called The Seasons.
The X Files - 1993 Paper Hearts 4-10 was released on:
USA: 15 December 1996
Germany: 9 November 1997
Poland: 20 November 1997
Finland: 27 January 1998
Hungary: 21 January 2000
He absolutely was! A season 3 episode called "D.P.O."
Deep Throat died in the last episode of the first season - The Erlenmeyer Flask
I'm not sure if this is what you mean, but there was a spin-off show about the Lone Gunmen from the X Files.