I enjoy the game the most in Veteran mode. Why? Two reasons, I guess.
1. I've always felt like if I had to crank a game's difficulty level all the way to the max in order to have a fun, challenging, and interesting play experience, then it probably wasn't a game worth messing with for any length of time. To me, the highest difficulty settings should be reserved for some indeterminate point in the future when I've beaten every scenario several times, know where the enemy is and roughly what the enemy is going to do, and still want to be challenged somehow.
2. If there's one fault with the game, I tend to think it's that the LOS and spotting elements are unrealistically restrictive, even on Veteran mode. I often find myself saying "Look, of course you can see that enemy unit. It's right there, damnit!" Elite mode just increases my frustration with that aspect to the point where I don't enjoy the game as much.