Davis portrayed a major recurring character on the X-Files television series called 'Cancer Man' or 'Cigarette-smoking Guy' because of his chainsmoking of cigarettes. In a May 15, 1997 Rolling Stone, he is interviewed by Anthony Bozza and is asked about whether he has a belief in UFOs. Davis answers "No, I'm a skeptic." He continues, "I think we live in a very barren universe. Our task is essentially existential. If we're going to have any meaning in this universe, we have to make it for ourselves. It's not going to come from outside."
He discussed the X-Files finale of the previous season, which was based on Dostoyevsky's The Brothers Karamazov. In particular, he points to the similarity between the philosophy of the Church and the philosophy of Cancer Man, that is, "We'll control the world for the sake of the world, because [people] can't look after themselves."
An article by Allison Cossitt describing a Davis speaking engagement can be found in the March 1998 Skeptical Briefs at http://www.csicop.org/sb/9803/x-files.html.
A 2001(?) interview with Davis in American Atheist magazine