Note that the higher difficulty settings introduce artificial difficulty and some tricks that might be considered "cheating". Your soldiers start weaker, there are more aliens, the aliens get arbitrary bonuses, etc.

Thankfully, the modding community knows how to fix that*, so with a minimum of technical skill at using computers and finding instructions (finding them is much harder than reading and following the instructions, seriously), the above can be corrected if you consider them downsides, and you'll get the full benefits of XCOM's AI opponents without the ridiculous arbitrary modifiers.

*(Fair warning: The realm of videogame 'modding' can increase a game's addiction potential exponentially. If this is something you have to watch out for, be careful.)