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Pellegrino appeared in season 7, episode 3 of The X-Files in November 1999. In 2001, he played an incompetent hitman in David Lynch's critically acclaimed Mulholland Drive. Pellegrino starred as Rita's abusive ex-con former husband Paul on Showtime's Dexter; and later as Lucifer on Supernatural and as the mysterious near-immortal Jacob on ABC's Lost. He has appeared on the television series Northern Exposure, ER, Without a Trace, NYPD Blue, CSI: Crime Scene Investigation, and Knight Rider.

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