Always use cover
If you stay exposed for too long you will not live to regret it. On veteran difficulty, this is a must.
Be a freeloader when possible!
The AI squadmates may not be the greatest, but they do have guns and are borderline invincible - let them take the risk when trying to clear a difficult area.
In close quarters you should always melee
It is instant and usually fatal. Attempting to fire your gun at close range is silly and will likely see you heading back to the previous checkpoint to try again.
Always move between cover
Never run into an open area/room until you are positive that the area is clear of enemy soldiers.
Switch weapons is always quicker than reloading when in a bind.