Rational Skepticism and Religiosity?

The more skeptical a person is the less likely they are to believe in unproven religious claims, but why do some people turn a blind eye to their own beliefs and accept it on faith alone?

In re-watching the X-Files it strikes me as odd the way the characters are portrayed.

Mulder is an atheist but willing to believe any story he hears about aliens, paranormal activities, and government conspiracies.

Scully on the other hand is a scientist and medical doctor who always claims there must be reasonable explanations for this supposed phenomena. Yet despite requiring evidence to verify all these other supernatural events she is a devout Christian.

Mulder is quick to ridicule Scully for her faith, but is willing to believe in all sorts of nonsense on his own with little to no evidence (granted, in their universe there really is evidence to prove these supernatural claims). Conversely Scully often treats Mulder as if he were crazy for believing in aliens and such (despite that as far as the reality of the show is concerned they have actually been shown evidence), yet more than willing to accept her own beliefs on faith.