Well, I’m not sure I’d prioritize The X-Files here as it is significantly longer than the rest and definitely inferior ... I mean it’s great, the first 5-ish seasons in particular, but it goes down some rough road after that ... probably not the ideal place to start but a must-watch at some point.
The other five ... are five of the ten best shows I’ve ever seen, hands down. The Sopranos is probably a logical place to start as none of the others would exist without it. Then after that you may as well tackle them in chronological order which I think is the same as how I watched all these.