There is only one file type that uses the .MX extension:
Mathematica Serialized Package File
Binary package created by Mathematica, a desktop application used for computation and visualization; stores Mathematica expressions in a proprietary serialized format, which is optimized for fast loading; used for distributing Mathematica packages.
Mathematica packages can be created using DumpSave and read using Get. They can also be imported using the Import command and exported using the Export command. For example, Import["myFile.mx"] reads the MX file and returns an expression. Similarly, Export["myFile.mx", expr] serializes the "expr" expression and saves it to an MX file.
Since MX files are saved in a binary format, they are non-human readable. Additionally, they cannot be shared between different versions of Mathematica or between installations of Mathematica on different operating systems.
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Updated: June 12, 2010