XCOM: Enemy Unknown is one of the best and most accessible strategy games to come along in a long time, as evidenced by Joystiq's review. The game is split between the turn-based combat missions you'd see in a Final Fantasy Tactics, streamlined for a larger audience; and managing the resources and growth of XCOM's barracks, laboratories, workshops, satellite installations and more.
I can assure you that starting a game at the "normal" difficulty is imperative your first time through. The "classic" difficulty, even after I've beaten the game on normal and know the abilities of each alien species, is still a challenge. It's not that the aliens are overpowered, it's just that they're out to kill you in the classic mode as much as you're after them to usurp their tech. The normal difficulty setting won't regularly activate the aliens until you find them at your own pace. Balancing the needs of the various nations that are part of the XCOM project is no easy task. Before I got a grip on satellite coverage and airships to take down alien craft, I had six nations pull funding from the XCOM project (which hurt monthly revenue). Losing nations, like losing troops, is part of the game. But you'll have to deal with the global panic eventually, since eight nations leaving is one of the few ways the game ends. Losing an entire squad on a mission isn't "game over," it's just "game on" with new recruits. It helps to build up a lot of troops instead of just focusing on a select group.
As the pressure mounts and you build up your troops, there will come a point where your favorite characters will die, either because you've underestimated the alien force or by pure bad luck. It's part of XCOM that your favorite troopers will die. You can always reload from the last save – unless you're playing "Ironman" mode, which is a constant state of autosaving with no reloads allowed. I sincerely feel Ironman mode is the way to play XCOM, as it makes you a more thoughtful commander and more cautious in your deployment.
What's sure to drive some folks absolutely nuts is the hit-percentage of troops in the field. It's going to happen more than once that a sniper will have a 90 percent chance to hit, or an assault needs to make a shot so that the mission doesn't collapse around you, and in both cases they'll miss. Take it as an XCOM via Labyrinth life lesson. If it makes you feel better, your troops will exclaim how unfair their missed shot is ... right before a Chrysalid repeatedly impales them and puts a baby in their guts.
As someone who wasn't familiar with XCOM before trying it out for the first time at E3, the past couple weeks with the final version have left me smitten like a kitten. The normal campaign is where to get your space legs, but classic mode is where XCOM: Enemy Unknown constantly pushes back against the player. It's not a masochistic experience, but the pressure is constant in this thinking person's action game.