Muton
These brutes are easy work. Mutons like to use their blasters from afar, or to get up close and punch. The blaster is not as bad as their punch, let me tell you. But they can certainly be downed before they even get to one of your soldiers. Other than that, they’ll often be in Overwatch or dealing Suppression. Suppression is the same as the skill you can teach one of your Grenadiers; the Muton will continuously shoot at one of your soldiers and if that soldier moves, he will instantly get damaged. In this case, don’t move that soldier. Note that you can still fire or throw a grenade, though, and once the Muton is hit suppression is canceled.
Oh, and watch out for being in a close-knit group when a Muton is around. They love to throw a grenade to cause some ruckus when that happens.