I start my missions with my soldiers holding primed grenades..

[Snow]

Does anyone else do this? So far, this strategy has kept most, if not all of my soldiers alive and lots of dead aliens within the first few turns. It always fills me with glee when I hear their alien screams as I watch them fall one after another. (Not that I enjoy murderous rage, but when aliens attack MY planet, I enjoy revenge.) It can horribly backfire, but at worst, so far I only lost 4 soldiers in one blast. However, never as much as I used to when I was trying to be more cautious.. which should be the other way around. I'm much more successful in my missions, by aggressively bulldozing headfirst into the action and blowing the crap out of anything that even looks my way.

And one of my favorite moments, just to add (since this is the forum section to do it): Stupid little sectoid manages to hit my rocketeer from a long distance away. The rocketeer reacts with a nice large rocket - over the same distance - perfect aim, blows up the little a-hole, also blows up a gas pump which takes out another.

[ohartenstein23]

Welcome to the time-honored tradition of blowing everything in sight up.  It gets more fun if you give everybody High Explosives instead of normal grenades, and if you want more bang in the first turn, buy a whole bunch of extra rocket launchers, and have everybody running off the Skyranger pick one up, snap fire once out of the craft, then drop it and continue as before.

Edit: Remember, both High-Ex and Large Rockets are only outclassed by Heavy Plasma and Blaster Bombs in single-shot damage, so they will always be useful

[Meridian]

[Scorrpio]

Of course, if a soldier holding a primed grenade is shot, you get a boom right in the middle of your squad.   

[Zyzyfer]

If you want to be gamey give all your soldiers primed Heavy Explosives. Throwing is more accurate, and HEs do big AoE damage, and any aliens caught in the blast (even if not killed), will also count towards firing accuracy improvements. This way you can have a bunch of guys with high firing accuracy really quick & then if you want, you may switch some to use guns etc.

I personally also recruit guys with at least 50+ reaction- the goal to have super team with high reaction and firing accuracy- this really pays-off later in game (as long as you play to keep casualties low).

[Countdown]

Of course, if a soldier holding a primed grenade is shot, you get a boom right in the middle of your squad.

Yup. Had a complete squad wipe from this once.