I just got started recently, so I'm still pretty early in my game, but I'm really, really enjoying this. I think, despite some rough edges, that they really did a good job on the game.
I'm playing on Classic/Ironman, and after the first mission where all my troops survived, I had three missions in a row that saw whoever was the top-ranked soldier get shot in the face. Same kind of luck getting live aliens - very first try got me a live sectoid, but despite repeated attempts, I haven't been able to bag anything else. (Interesting note: you cannot stun a zombie.)
I managed my first VIP mission with no problems and I've picked up some good stuff off of several small crashed UFOs. Had to leave for work in the middle of my first terror mission (which also saw my first laser weapons deployed, to great effect) which is going decently - it's looking like I'll save something like 60% of the civs. Had a chrysalid try to jump my squad - right into three different reaction shots that blew him away.
I'm worried what the next monthly meeting will bring - despite not losing any missions so far, I've still got some countries that are pretty panicked, due to repeated abductions. Still looking for the tech that will lead to better armor (an item that switches out with your grenade or medkit doesn't count!)