http://www.youtube.com/watch?v=VToAl5KuXlk
The early game can be brutal sometimes -- but always fun and EXTREMELY rewarding.
At the start you only have basic earth weapons, and of course the aliens already have their superheated plasma guns of all types.
Pretty much EVERYTHING YOU SEE during combat is destructible terrain, and there's lots of explosive ordnance (and the alien plasma weapons) taht allow you to destroy the terrain.
In fact when you assault a crashed UFO you can damn near blow the entire thing up from the outside if you have a squad with 4 heavies (for rockets and double grenades). Extra cool if you mana to hit the UFOs power source inside for a MEGA explosion (basically killing all aliens inside the craft in one turn, but also destroying the craft as well)
Of course that's the trade off; and this game is FILLED with EQUAL VALUE trade-offs. Using explosives will destroy any alien artifacts or tech that might have been salvagable.
And you can get REAL ballsy and try to capture live aliens using a giant stun gun of sorts -- often worth losing one of your best men to accomplish this, as the alien interrogations result in huge intel bonuses (and often new tech research as well)