Losing a veteran soldier in XCOM is a painful, painful experience in two very distinct ways. First of all, there's the sheer, emotional slap of witnessing the hopeless death of a character you've trained, grown, equipped, and become thoroughly attached to through the course of his or her heroic, often match-saving career. These little sci-fi action figures might never say a word, but the narratives you build around them in your head make them more real and fleshed out than any number of grim-faced, shaven headed, 'proper' game protagonists.
But then there are the gameplay circumstances to take into account. If one of your top-level squaddies has gone down, then there's a good chance that's because the game has just become a whole lot harder. And the death of one of your top guys is only going to make it even more difficult to fight the turning tide. Sure, you can replace them with a rookie, but what chance has that poor, fresh-out-of-training grunt got in a stage of the campaign that murdered one of your brightest and best? Though on the flipside, if he survives long enough to prove himself, he'll become an instant, bona fide, Big Damn Hero in your eyes. An unexpected death can immediately change your whole game in XCOM, and as for the dramatic repercussions? Hope you've brought a spare pair of pants.