Without question, the Chryssalids from UFO: Enemy Unknown. It's bad enough that they have a HUGE amount of time units so they can pretty much get to anywhere on the map in a single turn (unless they see an ice cream stall... those guys LOVE their ice cream!), but then the fuckers take over your men so that, on the next turn, your guy is a mindless zombie. Oh no wait... there's more... on the NEXT turn, your mindless zombie guy actually turns into ANOTHER FUCKING CHRYSSALID so you're pretty much fucked.
I've honestly seen an entire squad of 24 land in an Avenger only to be taken out and turned one by one until it's ONE guy against an entire map of Chryssalids. By far the best alien race I've ever come across (not literally, although I would) in any game. Ever.
They look so happy too.