Here are a few lesser-known but very sweet features in UFO:AI that I think are worth mentioning.
* middle-mouse or the Ctrl key : turns a soldier so as to face in a specific direction
* Space bar : cycle through visible enemies
* v : switch to the first-person perspective of a solider
* F11 : hide the HUD (restore it by pressing Esc)
* F12 : screen-shot
* Ins and Del (or r and f) : tilt camera up and down
There are keyboard shortcuts for most actions (e.g. guard, crouch etc) - see the full list at
http://ufo.myexp.de/wiki/index.php/Running_the_game (scroll to the bottom of that page).
Finally, if you run the game in a window then to free your mouse from that window bring up the console (use the ^ or ~ key).