Indeed, there are already very sophisticated algorithms to calculate interception courses. At the basic level, it's just finding the point where two lines (UFO and Interceptor Trajectories)cross, varying the heading of your Interceptor but considering its speed at constant max speed. You then update that every so often (the current course is updated every time the UFO moves, so updating is not an issue). Then you can get into more complex algorithms or also define "regions of interception" (like if you have a HWD, force the interception to occur in the region you know the UFO is running its mission).
All that being said, I no longer think it is necessary, or even favorable, to have that, since it gives you an extra role in the geoscape: Flight Controller, instead of just watching your interceptors and waiting because you know they are also using the mathematically best way to intercept. Having a bad automatic intercept makes the player useful.
Multiple waypoints (assigned on a shift-click, like in most RTS?) would be awesome though, especially if the last can be an UFO.
