If the "X" is on the end of a pin, it typically means the pin is intentionally "not connected". Placing the X on the end of unconnected pins is a way to tell anyone looking at the schematic that the pin is not supposed to go anywhere, as opposed to letting people wonder "is that supposed to be connected to something?". Also, some schematic drawing packages will ignore these pins when a ERC/DRC (Electrical Rules Check/Design Rules Check) is run. It will not report these pins as being "not connected" because you have indicated they are not supposed to be connected. Now, if you are talking an "X" that lies within the body of the part outline, I can only assume that is what the creator of the schematic symbol decided to name the pin :)
The only time an X would typically be used on a connected pin would be to indicate a modification to the circuit. The "X" would indicate that that the net is supposed to be disconnected for the modification. This can be done by cutting a trace on the board, lifting a component leg, etc.