I think that we need a simple thin red ellipse that draws over all tiles and shows you an approximate blast radius (not tile by tile accurate) for every weapon. It's anyway better than feelings of danger zone.
@Xtendo: I like your design for this feature. Looks good and fits in with the "feel" of the game. This is a pretty old thread so I assume it's not getting in the Nightlies at this point, but I would support it.
I'm pretty strict about not re-loading when bad things happen to my troops, but I will sometimes reload to "test" a blast radius before I commit to using it. I'm not always good at visualizing the "danger zone" in my mind so it's easier to shoot and re-load if I it turns out I was in the blast radius and I kill myself (then I just move slightly out of it and re-shoot). This feature would allow me to know without doing that.
Maybe when I'm a "vet" I'll be stricter, but right now this is one of the ways I "cheat". I don't consider it that cheaty though because hypothetically I could look up each weapon's radius and count tiles anyway, but that's very tedious so I just test and re-load.