If they have a file on you, then they probably know all sorts of intimate little secrets - such as your name! I figure the FBI could make it a little bit more personal than "Dear Sir/Madam". ETA: I see that G-Benz has beaten me to it!

I'm stunned that you're so "curious" about stuff such as this. It's the nature of phishing, man! They don't have to "know" anything about you and the FBI any more than they "know" that you have a bank account with Chase... or Citibank.. or whomever. The vast majority are just trying to come up with bait that will look genuine enough for some people to bite. It's certainly no more amazing than what a good "cold reader" can appear to do - again, with lots of help from the intended victim.

It was wise of you to be skeptical enough not to open the attachments. Keep nourishing that healthy skepticism!