During the actual missions, X-COM used darkness and limited visibility to good effect. What you couldn't see would kill you, so every door and dark alley was an unnerving potential trap. Nighttime missions were especially frightening. Even the sound effects in the shell screen were great. An important element in an action sequence, particularly one with guns and other things that go boom, is how you clearly demonstrate the destructive power of a battle.
Bullets wreak havoc.
They break glass and shatter the bottles on the bar. An explosion can knock over a wall and a molotov cocktail can burn down a house. But in a first person shooter, all this has to be scripted and it takes up precious CPU cycles. Things break in X-COM and the game captures this beautifully. It's one thing to shoot out windows and punch holes through walls with your gun, but destroying the entire side of a building with a rocket is uniquely satisfying.