As other mentioned. If you finish mission without taking any damage, game algorithm will increase difficulty for next missions. So let enemy hit you… they will do that anyway, but don’t load game every time. This is hard lesson for players that come from other games which don’t calculate player’s performance.
Just remember that enemies will eventually get more damage, health, armor and speed or even more perception and stealth. But if you won’t piss off Dynamic Difficulty Algorithm then it will probably come later as enemy is evolving even without paying attention to player performance.
There is not much research projects which alter player’s power in the combat. So don’t expect anything like next tier of weapons or armors. You can play and win the game with basic weapons which you have from the start. It will be just slightly more difficult.
Only difference which comes from research are soldier classes. When you unlock them, then you unlock powerful combinations.
Another research projects that influence heavily gameplay which come to my mind right now are paralyzing weapons. They, except allowing you to proceed with storyline, will also allow you to disable enemies without resorting to immediate kills or even to disabling shots which often must be super accurate.
Vivisections of aliens also help a bit.
True power comes from class skills and so called perks (third row skills - there are always 3 random such skills independent of the class) that give bonuses to damage.
Read what Voland wrote here in this still not finished guide, that also may help you:
If above won’t help too much and you want some examples of skills which will let you overcome even evolved enemies then ask.