Don't group your squaddies.
Heh, I did have one of those on a terror mission, where on turn one an alien threw an explosive at the door of my ship and killed about 7 guys at once.
The mission where my party got wiped was rough because I was doing quite well. I'd taken out 5 aliens on a downed small ship and lost two at the start as I exited the ship. I was moving into position to breach the ship. I went in and ended up facing three aliens, I took out one but the interrupt killed my soldier. I decided to regroup at that point, but as I was positioning one alien came out of the ship. He was a baddass and could not miss, and I couldn't get an interrupt. He took out 3 more soldiers. I had two on a roof top, so I started moving them in, but one panicked. The calm and cool one got shot by some alien off in a field somewhere, and my cowardly guy got shot running back to the ship.
lol.
As is the way of XCOM games; once things start going bad they always seem to snowball into total catastrophe.
I love that about them.