X consists of two parts - X server which presents picture for your enjoyment and X clients like xdm or xterm which are actual apps that give pictures to X server.
If you have videocard in your system you can make [kgx]dm run at boot to present fancy login screens (by setting default environment to CDE)
Failsafe session gives you only (ai)xterm, but you can use CDE for more windows or KDE or Gnome for even more fancy gadgets
You are not completely out of luck if you do not have a video card - you can run some X server on PC (Xfree86 on Linux etc or smth for $$$ on Windows) and then point your X application to that $DISPLAY on PC
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