This episode is absolutely brilliant. It delivers the perfect mix of serious sci-fi and tongue-in-cheek humor. I honestly can't understand why a show which presented us with such treasures was ditched after the first season, when total flops are being kept alive for no reason. The first three episodes are not marvelous, just OK, and then the series kicks off, with this episode being a prime example of its greatness. If you are a science fiction fan (and I mean good science fiction, the kind that you can read in "books", the kind that gets a Hugo award), you absolutely must check out this episode. "The Lone Gunman" has its lows, but it certainly is a venue where originality (as far as TV is concerned) abounds. This episode has so many cool moments that I want to re-watch it again right away. It is certainly as good as the best (non-mythology) X-Files episodes, only that, like in the X-Files episodes where the Lone Gunmen were part of the plot, there is a lot of irony and humor added to the story.
I can't really comment on the plot in detail, since it's one of these episodes where anything you say would be a spoiler, but just go and grab the DVD and check it out, and then become a fan of the whole short-lived show. Seriously, as a science fiction fan who has read a lot of good science fiction, and a lot of crappy science fiction too, I can tell you that gimmick-wise, this is better than, say, the stories in the Masters of Science fiction series, which is touted as masterful S-F. Generally, what makes science fiction good are cool ideas and gimmicks, provided that they are significant somehow in the context of the story or well, if they enhance our appreciation of the human condition, i.e. if those gimmicks are not solely there for their coolness. Another thing that makes science fiction good would be the quality of the presentation, literary or cinematic. This episode delivers in both these areas. A must-see.
