I have to go with the Sectopod myself. I just beast it yesterday as well and the first time I took down a supply barge, I was sending my team through it and suddenly at the end of every alien movement phase, I heard a distinct *thud* ... *thud* ... *thud*, and all I could think was "I can actually hear whatever that thing is walking, and I can't hear berserkers walking... this thing is bigger than a berserker?" When I finally found it, it was sitting at the far end of the outside walkway of the ship, with minimal cover between my squad and him, and muton elites (also the first time I'd seen them, but I barely even noticed them at the time) climbing all over the ship and attacking from weird directions.
Honorable mention goes to ethereals, simply because of my first encounter with them. Small scout ship, cleared out a few mutons and floaters out front, and was moving my squad of 5 colonels and 1 major through the ship. Move both of my assaults and my support past the small middle room, saw nothing, and moved on. Posted my heavy on the far side of the door, and lastly moved the major sniper to a position behind some cover outside the middle room. That's when I see the two muton elites guarding the ethereal in the middle room. None of the soldiers I moved past or posted on the door could see anyone in the room, and my last move spotted them. Thankfully, the ethereal MCed my major sniper, though my heavy was caught by the mutons, suppressed, and brought down to 5 hp, and none of my assaults or my support could help him. I had to take a risk and had him make a run for it, and luckily he dodged the reaction shot. Then I moved in the rest of my squad, at which point the ethereal deflected half of my shots against it, and proceeded to drop a rift right on top of my team. By the end of that fight, the major was dead thanks to the ethereal parking her in the rift, my support and my favorite assault both got critically wounded and were bleeding out on the floor, and through a sheer miracle, my colonel sniper, assault, and heavy managed to rush in and finish off the remaining enemies. I think my colonel sniper was the only one that wasn't out of comission for at least 2 weeks. I also decided to bring a second support on most missions after that, since I was tired of the only guy with the medikit being the one on the floor bleeding out.