PX Poker Night is really good, imo, the players don't start as agents and it does a fun baif and switch with the ||Grey's and the Mi-Go what the inside of a flying saucer is like|| so it can be a cool intro to the universe and the stakes usually involved but it's also not really set up to lead into a longer campaign (and is reasonably deadly) and there is some awkward time management stuff the module leaves to the GM to figure out.
Operation Fulminate from the Handler Guide is also quite good and is pretty left field as far as enemies go so it can throw people expecting both X-files and standard Lovecraft for a loop, and it's all well contained and the timeline is easy to follow for a GM, but it can also be quite lethal and difficult to get a "good" ending out of unless the players are quite creative. That isn't necessarily a bad thing in a first time DG scenario but I know some people might be put off. There are also some big necessary CW flags around child abuse/endangerment, though most DG modules have CW of some kind.
I've seen more people mention Extremophilia as a starting scenario too. It sort of throws people into the deep end lore and stakes wise but it's also really just quite good overall and gives the players a good sweep of what can go on in a less contained DG scenario.