Mulder is 'Chris Carter''s mother's maiden name. Mulder's first name, Fox, is the name of Carter's childhood friend. Scully is the name of the LA Dodgers' sports announcer Vin Scully, to whom Carter listened as a child. In episode #6.19, The Unnatural, the voice announcing the Dodgers game is none other than Vin Scully.
The name of the Negro League Team "Roswell Grays" is a play on words. Roswell Gray also refers to the type of alien typically portrayed in movies/TV that people allegedly claim to see (gray skin, big eyes, small mouth, no nose.)