I'm still playing XCOM pretty much every chance I get. I am now on my thirteenth Classic Ironman campaign (not counting the few I did on my laptop at AAC last weekend) after suffering crushing defeats in the previous attempts. Every time I get a little bit further, get a little bit better, though.
In hindsight I'm not sure if I would recommend playing on Normal first or not. On the one hand, it would give you an opportunity to see a bunch of the enemies, and learn what they do, experiment with different weapons and upgrade paths, all before jumping into the unforgiving challenge that is Classic Ironman.
With that said though, there is a level of unparalled tension and fear when you get further than you have in the game, see a new enemy you've never encountered before, and to top it all off, you know that you can't go back and reload a save.
I have developed a couple of guidelines I follow that seem to be serving me pretty well in Classic Ironman, so I thought I'd pass those on for anyone else taking a run at it.
-First of all... resist the urge to dash. There are times it is okay, but you have to be 100% sure before you do.
-Advance all of your squadmates into position before taking any secondary actions like Overwatch. You don't know what you might trigger... you may want to retreat a soldier.
-Never trigger a new group of enemies at the end of your turn. Choose a soldier to be the point man. He moves first, and he moves the furthest up. If he discovers a new group of enemies, you now have a gameplan for moving the rest of your team. If he doesn't trigger any encounters, move the rest of your team, but don't move further ahead than the point man. The last thing you want to do is trigger on your last move, and give the aliens the first chance to attack you unprepared.
-Spec one mobile sniper and one stationary sniper. A mobile sniper can move and shoot, a stationary sniper needs to sit way back and pick enemies off with the "team sight" skill. Depending on the mission, sometimes one is better than the other. Escort missions or bomb missions, for example, are better for a sniper that can stay on the move.
-For Terror missions, don't spread out running to save every civilian. Don't panic and start rushing when they begin dying. You'll end up in a less-than-optimal positioning and pay the price. Focus on killing all of the aliens. You automatically get credit for any civilians still alive when you kill the last alien. For the rest... fuck 'em. They need to learn to run.
-Satellites are king in Classic Ironman. Producing Satellites should be your top priority every month. try to have at least 3-4 by the end of month 2.
-If you can take out 2-3 enemies with a grenade or rocket... do it. Forget the weapon fragments you may lose, they're nothing compared to potentially losing a ranked up squad member.
-I tend to lean towards researching new weapons before researching better armor.