Having a great time with it so far. I'm doing Normal Ironman myself, since I'm a big weenie and hate it when I lose characters <T_T>
So far, Normal has been just hard enough to be fun, but not so hard as to be annoying; which is exactly what I'm after; at least for a first run.
The one thing driving me nuts though: Panic levels! Mein gott, everyone is panicking and satellites take ages to build! (That's not even including the uplinks!) No one has left the council yet, but I'm convinced it won't be long. Germany would have had I not gotten lucky with a Terror Mission there and dropped their panic back to 1.
I will also admit that the HUGE size of the male soldiers really makes me think "Space Marines" from WH40k... which inevitably prompts me to wonder where the researches are for "Bolter" and "Chainsword".
As for losses... I believe I'm up to 7 so far, mostly rookies, but I lost my favorite Support soldier too - that was incredibly disappointing. Lucky crit got her, bleh. But that's X-Com for ya.
I recently got a really nice ability from the Officer Training School too - Rookies automatically become Squadies, so all new hires (and my existing backstock of rookies) all come equipped with a class to begin with. I haven't had it long but I think that's going to be *huge* going forward; since none of my soldiers will be total crap.
I've found starting in Asia a very useful thing due to the 50% discount on Officer Training and Engineering things. It's stretched my meagre money supply quite a bit further since (so far) selling corpses and the like isn't worth a whole heck of a lot.