Large mechanized walkers. Sectopods are very tough and have heavy armor; you'll almost certainly need to shred it before your soldiers will be able to make much of a dent. They have good aim with their high damage cannons that can fire twice per turn, and they've got over their restriction of having to fire on different targets. Sectopods can launch an attack called the Wraith Cannon, a beam-based derivative of their previous incarnation's Missile Salvos (in that it takes a turn to prepare before firing). For 'melee,' it has a AoE/close-range electric attack called Lightning Field. They also have the ability to move into a high stance, enhancing their range and line of sight. They have no qualms about moving through buildings and obstacles to clear a line to your soldiers; they are able to move in the high stance, increasing the damage to higher floors they can do.
Interestingly, like their original incarnation, they also take up 4 squares on the battlefield's grid.
Explosives and acid weapons greatly help to remove armor and to get the most out of your attacks. Stasis ability can turn it off for a turn, but will also stop it from taking any damage (the trick is to do damage before using Stasis.) AP rounds make its armor mostly irrelevant. A Haywire Protocol Specialist is a necessity if you cannot take it out in one round (appropriately an Achievement), in order to disable it for a turn or so. But, if you can manage to control it (with a base Tech score of 125, this is also an Achievement): have fun playing as a Metal Gear for a few rounds! Bluescreen rounds and EMP Bombs are also very useful weapons against Sectopods (and other 'Mechs). Both of these weapons will not only damage a Sectopod, but will reduce its hack resistance, making a subsequent Haywire easier. In addition an EMP Bomb will disorient the Sectopod, reducing its aim and preventing it from using special abilities (though relying only on this effect is a risky proposition; a disoriented Sectopod is still a very capable enemy).
Lastly, like their Enemy Within incarnation, they also explode with significant force when they are destroyed. Especially keep this in mind if you're controlling one: not also if ADVENT or aliens manage to destroy it, but do not forget that you can still target and fire upon it while it is under your control. Take advantage of this, if you can.
Once you destroy one in a non-evac mission, and research the resulting wreckage, you'll be able to have Shen build the Gremlin MKIII, which will greatly further assist in your Specialists' chance to take over it and the lesser machines.