I do like the feature of research that improves existing items, but actual implementation of it will always be controversial. Bonus against aliens is unjustified, like explained above, and besides most aliens have similar anatomy to us, so extensive research won't help the soldiers much ("When dealing with a Sectoid, aim at the head!" "Gee, thanks professor, that's so helpful."). And I'm not sure how X-Com researchers could ever improve our firearms, something that's been perfected over the last few centuries. New weapons are, of course, possible, as long as they use new physics or materials (see the alien alloys ammo mod).
As for armour for aliens:
Sectoids already have power armours, called Cyberdiscs
Yers, they perform that role exactly. And Sectoid footsoldiers also wear decent armour, since they rarely go down from just one bullet despite being physically frail.
Mutons seem to be cheap, mass-produced cannon fodder, so giving them expensive, complicated power armours would be rather illogical.
Floaters: the same as Mutons.
Snakeman: yes, possibly. Snakemen seem to be the most "normal" race, anyway; they reproduce and probably have some sort of culture.
Ethereals: viable, but do wee really want this to happen?