Need a new game like XCOM or Fallout Tactics

Sounds like Shadowrun or Wasteland.

You can't go wrong with Banner Saga.

You could try Jagged Alliances or Shadowrun Returns/Dragonfall.

Wasteland 2.

And from XX century: Jagged Alliance 2 (especially with v1.13 mod) - but it's expensive right now, at least on Steam: http://store.steampowered.com/app/1620/ .
Jagged Alliance 2 Wildfire is on sale right now - http://store.steampowered.com/app/215930/ - but I know long time ago people said it's actually worse than JA2. But then, with so many years and community patches/mods it might not be actual opinion.

Unfortunately, losing characters due to massive amount of bullets is something that's is really important in this kind of games.

You can try playing the old XCOM games and the UFO series if it's still of your liking.
Perhaps Antisquad is what you're looking for, didn't play a lot on that one though.

Try Valkyria Chronicles

To be honest I've never played neither of them, but some friends tells me the gameplay is simlar to Fire Emblem. I played this one and it's pretty fun. And the last one, if you play casual, you don't lose buddies.

Shadowrun, Wasteland or Valkyria Chrinicles, maybe Massive Chalice (?)

my bread and butter!

in addition to the excellent options others have mentioned, I would add silent storm into the mix

Maybe check out recently released Invisible Inc. On the easiest difficulty you have 5 turn rewinds and you can restart the mission if you fail, and you can even customize it to have 99 rewinds if you want. However, the game is entirely focused on stealth so I don't know if that fits your preference.

old Games:
Classic Xcom games.
Jagged alliance series.

Recent games:
Xenonauts. (be warned: Its hard. )
UFO: Extraterrestrials

Final Fantasy Tactic Advance/ Tactic Advance A2 : Grimoire of the Rift
A really nice game would be Tactics Ogre : Let Us Cling Together. One of my favotire so far
Fire Emblems are cool also.

Expeditions: Conquistador is pretty unique and underrated. You should try it :D

Invisible Inc.
GL

The Age of Decadence, i didn't play it but in my wishlist. the reviews are very positive.
UnderRail, i loved this game, if you like old fallouts you should try this. it's better than wastland 2 in my opinion.

Jagged Alliance 2, still the best game of that type that I've played.

Dunno if there's a version for PC, or if your request is PC exclusive, but you could try any of the Disgaea series... It can be as casual as you'd like (or as opposite of casual as they come). Heck, if you like it and have lots of time, you can end up spending days with those games. I think it has some of the key elements you mention (not permanent death, range-based skills, lots of fights, lots of ways to play it, etc...). Let me know your thoughts...

PS: The Final Fantasy Tactics series are also great games, and they have better story (imho).

Silent Storm Gold

You can give This game an opportunuty.
Fallen: A2P Protocol

Shadowrun Returns and Dragonfall are currently on sale. Other than that Invisible Inc. is said to be pretty good.

Valkyria Chronicles

Maybe this

I am a huge fan of the Shadowrun series, having been addicted to it since I first jacked into the matrix on the 8 bit console systems of my childhood.

They just went on sale this weekend on Steam to get ready for the latest launch Shadowrun Hong Kong.

I just happen to be giving away a Shadowrun game for Midsummer Madness. /shameless promotion

Faces Of War was nice