Kristen from the X-Files Livejournal Community got a transcript of the David Duchovny and Gillian Anderson interview by EMPIRE magazine. From X-Files Community:
EMPIRE: As Mulder and Scully, you’re pretty much fearless. Are you scared of anything in real life?
DUCHOVNY: I’m not a big fan of the clown. And I don’t like the idea of being eaten by a shark. I like to swim in the ocean and I think much more about sharks than anyone should. I really resent the fact that my oceangoing experiences are ruined by Jaws.
ANDERSON: I’m actually very scared of sharks too. I wanted to be a marine biologist when I was young, which may not have been compatible with that fear.
DUCHOVNY: Really? I wanted to be an archaeologist.
ANDERSON: Me too! I didn’t know that about you. Except I wanted to do underwater excavation. I probably saw Indiana Jones and then some sea anemones, and wanted the best of both worlds. (Pauses) There’s a big part of me that would love to be a secret agent. But if I showed up to do an investigation and interrogate someone now, they wouldn’t be able to take me seriously. I’ve ruined that for myself.