I would say the original X-Com even though the difficulty in that game is balanced like a seesaw.
At the beginning you will get horribly slaughtered by a single alien crawling out of the wreckage of a scouting UFO that you just shot down in flames, but as soon as you unlock the psychic lab you pretty much win every mission by just looking at an alien.
The only thing that could still happen would be someone getting horribly raped by the Chryssalids.
And I mean that LITERALLY.
For those of you who haven't played the game, Chryssalids are pretty much a straight ripoff of Xenomorphs from Alien with the exception that there are no airlocks to throw them out of, and they're more or less immune to bullets.
The game tells you that they're weak against explosive ammo after you actually manage to kill one and survive... But that's a load of bull because you can shoot them in the face with an auto-cannon firing HEAT rounds the size of a soldier's thighs and they'll barely even notice.
Not to mention that they usually find any civilians on the map before you get even halfway across the street and that's when Mr. Shit and Ms. Fan are so aquainted they should just get married already.
Basically, Chryssalids grab people, inject them with paralyzing venom and then shove an egg through the closest orifice before setting the zombie-like husk stumbling towards their former loved ones while being eaten alive from the inside out by ANOTHER Chryssalid.
And that's the aliens that play fair.
Most other aliens like to shoot you when it's your turn. Not to mention that while you start with rifles that might kill some of the squishier aliens in one hit, if you're lucky, while the aliens' standard weapon is a plasma cannon that will burn straight through even an advanced power armor and can be fired on "burst" setting.
It's still a really awesome game though, and it's on Steam. Really cheap. You just have to fix the damn DOSBox settings so the game stops lagging. (Limited to 8000 cpu cycles and can't be raised above that point without editing the config file yourself. The game runs smoothly for me at about 12000 cpu cycles. >_>)