To tell you the truth save for one almost disastrous Starship Troopers like terror mission I was two shotting them with ease. And after a little while one shotting them. In the end my guys were such monsters that I was only really in trouble against multiple Sectorpods or multiple Ethereals.
My most interesting encounter with Sectopods happened during the story mission "special UFO shot down". There, that doesn't spoil it, right? Anyway, I don't know if that thing is always a stock, medium sized UFO or not, but damn! In that little ship there were 2 sectopods, an ethereal and his possey of elite mutons AND a mix of floaters and more mutons to keep them happy.
Firing a rocket in there, which blew up a wall that kept the ethereal from the rest of the gang, on the first turn didn't help matters either. That mission cost me a full bird colonel support guy. At least the sectopods didn't appreciate being packed in there like sardines either, they didn't have a line of sight on a lot of my guys.