Indeed! Lots of interesting comments on what we like (and what's frustrating/ragequit material) here. Great for modders to try to tailor to as well.
I play modded OpenXCom (hellrazor's hardcore mode). Strangely enough vanilla XCOM seems way too easy to me. After playing for a year, maybe, I noticed just how unbalanced it is at some points, specifically psionics, laser weaponry and exploiting AI stupidity.
Ah, well, that might be part of your situation as well. hellrazor has done some very interesting work, but I, for one, know his mod is totally not for me. For example: In the original, aliens have little armor. Why? Because of the way armor works, it makes the game less predictable. Take a heavy plasma hitting on a soldier wearing a flying suit. It can either do nothing ~50% of the time, or kill him outright. The odds of a "medium" outcome, wounding a soldier without killing him, are very small.
The distribution of damage on armored targets is FAR from a normal or a uniform distribution, which are the distributions we are naturally used to and understand better. Seeing 5 heavy plasma hits on our soldier do nothing is cause for joy, but now add aliens with more armor, and picture yourself as the one hitting them 5 times to no effect: Not a happy player. I believe that's why vanilla mutons have a lot of health and damage modifiers as an endgame alien. It makes them hard to kill, but every hit does something and the outcome is reliable so the player remains happy. You can see you are making progress with a mind probe, and you know that it will take a lot of heavy cannon hits to down one, but you slowly wear him down and you will get there.
Let's say a certain weapon reliably takes 10 hits to down an alien, with little variation (easy to do with no armor, health ~10 times the weapon's base damage. Works even better with TftD damage formula). You could make a different weapon where in 10% of the time, you outright kill the alien, and the rest of the time, you do nothing. On average, that's 10 hits to kill too.. But in practice, they are very different situations. One is a lot more reliable than the other. The few occasions of killing it in the first few shots (yay!) will not compensate, enjoyment-wise, for the few times where it takes 30 shots because you just aren't getting that lucky 10%.
The more armor an alien is resilient because of armor, the more it behaves like the 2nd situation. The more based on health, the more like the first. It is not surprising that cyberdiscs and sectopods, two relatively armoured aliens relative to early and late XCom, are some of the most frustrating aliens (and then people go for the most reliable way to take them out: flamethrowers and explosives, more so than the low chance, big reward of heavy/tank lasers).
Similarly, since the aliens are supposed to be mighty gene-engineered soldiers, compared to our rookies, casualties should be at least 1 to 1 in aliens to soldiers, but that's not the case. Why? Because of enjoyment. The computer will never care about being wiped out every battle, but a player will care about losing 2-5 soldiers per battle out of 14 and usually considers that a lot, even though he took out 10-15 of the mighty alien invaders. Even creating mods where you can be expected to lose your 2-4 rookie scouts every battle is rather challenging.