I'm loving the Support units (used primarily as medics, but also good for scouting, smoke grenades, and nipping into a hot zone with an arc stun-gun), but snipers are a close second now that I'm starting to get them levelled up quite high. I'm bringing rookies and low level units on most missions, so that if I lose some good soldiers I won't be left with a load of newbies for the next mission.
Not finding much use for heavies (destroy too much of that valuable alien tech) and assault (they like to get up close to enemies, but if they do that they're outnumbered). Might be more useful later in the game, though, so I'm levelling one or two of each.
Haven't got as far as developing psionic weapons and units yet (that's what they called them in the original - I'm guessing that's not changed) but I'm close to that point - I recently raided an alien base and captured a device that's going to take me in that direction.
I'm saving and reloading a bit too much, though, which is definitely against the spirit of the game and is arguably cheating. Can't resist if the facility is there though! I believe the game autosaves after every turn or kill, and the load/save options are greyed out if you play on the hardest difficulty - which is a nice twist, but will make it a complete nightmare.