Interrogations: Live aliens - besides allowing you to keep / research their weapons, give you research boosts in various areas when interrogated.

Autopsies: Haven't found much use for these. The only ones that gave noticeable results were some interceptor single use boosters that you can manufacture to give the interceptors better aim, evasion, speed for an interception. These might come in handy for later game, but these also require corpses to make, so if you plan on making these (you will not need them for the first 6 months or so), then save up on the corpses in question.

Clearing an alien base reduces world wide panic by quite a lot, so it might be worth doing that if things look grim. The base layout i have seen is kinda open, so there is room for snipers to operate.. I originally did not take mine as I figured they are less useful in close quarters.

Do not neglect pistols. Pistols do not need reloading and a good laser pistol can reliably take out an early game sectoid (3hp) and can even take out 4 HP enemies with a lucky shot, or severely wound them if you do not crit. Later in the game, a plasma pistol is an invaluable tool, when you are swarmed by enemies and cannot really afford the 1 turn it takes to reload.

Save ammo. If there is an enemy you can take out with the pistol, its best to switch over and kill it with that, saving the ammo for the next enemy that might come around the corner.

Arc throwers do not work on robotic enemies. Do not waste your men trying to "stun" them, like I do every 10-15 hours when I forget about this

There are a few skills in the game, that just do not seem as good on paper as they are in reality:
Bullet Storm (Heavy): The alternative to this is holographic aim. Now holo aim is sure useful, but what bullet storm actually does, it not only allows you to take another move after shooting, but in fact it allows you to take a whole action after shooting. So you can fire/move, fire/fire, fire/reload, fire/psi attack, fire/whatever with the guy. If you do not think thats useful, then you have not yet been to the later parts of the game, where there are 20ish aliens in a mission, each with 10+ HP (sometimes as much as 40) and they charge at you in groups of 3-6 at a time.

Close combat spec (assault): It might have a different name.. point is, you get a free reaction shot (even if not in overwatch) against any enemies that get within 4 tiles of you. I do not think I have to explain how useful that is against melee enemies, but even against regular ones it might come in handy.

Do not know its name, but the support has an ability that gives it +3 movement speed. That's +3 tiles / movement phase, so a total of +6 tiles / turn. That is a lot and later on it can save your skin as a good support can use the medi kit 3 times.. in fact with 2 device slots (another ability it gets at high levels), i think you can make a medic that can heal 6 times during a mission for 8hp each (also an ability).

Though personally I prefer them to capture aliens, as they can move the longest distance in a single action, thus giving them the best chance to close up with the enemy, while they can also equip 2 devices, so they can still perform their medical duties in addition of carrying an arc thrower.

A yes.. in case you were wondering, the hit chance of the arc thrower depends not only on distance from the alien, but also the health of the alien. If you want to have the best chance of stunning it, make sure it only has 1 or 2 health left.

It is somewhat dependent on playing style, but it might be wise to have at least one sniper with squad sight. It might not seem that useful early game, when you fight weak aliens from one cover to the next, but late game, when you fight 20hp aliens in groups of 3, you will really appreciate the firepower a squad sight sniper can dish out from behind the front lines. Hell.. at colonel rank, you can even pick the ability called double tap, which gives your sniper two shots. Right now, I use 2 such squad sight, double tap snipers in my squad in flying suits.. at the start of the battle I fly up high for the bonus aim and better LoS and then just rain death down on the enemies.

My best was taking out 4 20 HP mutons in one turn with these two guys, as plasma snipers when crit can one shot kill them - and they do crit a lot.

Also, squad sight on overwatch, if given a proper vantage point (say the previously mentioned flying suit) can pretty much shoot at everything that enters your squads visual range. Its amusing when 2 out of 3 enemies in a patrol die before they even have a chance to scram for cover. Amusing, but also necessary to give you a fighting chance against them.

Anyway, you generally want to give yourself abilities that give you multiple actions as those will highly increase your chances of survival late game.