You seem to be pretty damn experienced though (or at least good). I'm not sure if the game has a massive difficulty spike somewhere, but thus far there's only been one KIA.
From my handful of runs through (I haven't quite finished one yet), Long War player losses tend to get you in two ways.
1) Unlucky shots. Even with cover and hunkering down it's totally still possible for an alien to get you with a critical shot and OHKO your guy, especially later in the game as they get better at aiming and do more damage.
2) You don't realize it's time to retreat soon enough and pretty much everyone dies. I've had some missions that looked pretty easy when I started, only for dozens of mutons to suddenly begin pouring in from all sides. (And sometimes the pods will move on their own, so you might not even be triggering them on purpose). Next thing you know your guys are surrounded and dying like flies, and if you are lucky maybe a few can even make it back.
In the long run overall long war losses tend to sneak up on you as well. Generally I've found they consist of you playing along and suddenly realizing that all of your weapons are just bouncing off of your enemies, your armor isn't good enough to stop their occasional lucky shot, and it's going to take another month of losing before you can research anything to counter that (and then another week or so to actually produce it). This is also a reason why it's generally a good idea to pick up gauss weaponry pretty early as well, alien armor goes up pretty quickly after mutons start showing, and if you aren't prepared things can get very tough, very fast.
(Alternatively they consist of you losing the air game badly enough that all of your satellites are being shot down faster then you can replace them, and everybody leaves xcom while you fail to gain any real funding to replace said satellites ).
Ah, so it turns into a 'you lose because numbers' situation. xD (That is to say, while skill can compensate somewhat, the enemy just outclasses you and you stand no choice.)
I'm not sure if I like that kind of difficulty or not. I'd say it's good most of the time, but it's a pain in the ass in some games *cough* Roguelikes *cough*. Though that is the point, I guess.
Actually, a better example would be the Azure Kite, Tri-Edge and Taihaku fights in the third .hack\\GU volume (if you know what I'm talking about.)
They were mainly just bad because they were massive difficulty spikes that came out of nowhere and you seriously had to do a bit of level grinding to stand even the slightest chance. (Though it was possible to scum two of them with the right consumables, if still incredibly difficult).
The eternal spiral of failure. >_>
Ever played Dungeon Keeper 1?
'You need a treasury to store gold'
Of course, since you have no gold to build a treasury...
Luck's a part of everything, but XCOM's no Hearthstone.