Do not sell alloys, elerium, or intact components. Alloys go into almost everything, elerium goes into lots of high-end awesome things, and stuff like Flight Computers go into the cool vehicles later. Damaged stuff is ok to sell, as you can't do anything with it. You will need lots of alloy and elerium, and there is never an amount of this stuff that is "too much" unless you are near end-game and your stores are overflowing in all the neat shiny end-game toys. And even then you probably shouldn't sell this stuff. How many high-end craft you build is a matter of taste. But the high end craft will perform better than our "mundane" stuff, even without the awesome high-end munitions. Gun parts would also fit here. Though if you can capture a lot of aliens you'll capture a lot of alien tech intact. You'll likely have to build some high-tech weapons on your own at some point, though.
In addition to that, you pretty much need 1 of everything for research, but you knew that already. Some items might be marked as having no research value, you can sell those. I'm pretty sure (Damaged) items are thusly marked, in fact. It may be these are the only items like that. The items will be marked as having "no research value/safe to sell" in the grey market sell screen, when you select them (it will be so marked in the description). As Kotekzot notes, you can also safely sell alien entertainment, surgery, and stasis tanks. I think I've seen all there is to see and I can't recall anything else that's safe to sell off hand.
Corpses can be used in certain construction, e.g. Muton corpses for I think Titan Armor, and floaters are used for the dodge power up I think. Also, council requests will occasionally come in for corpses. I sell some but I like to keep a decent sized stack in reserve and I don't sell anything Muton or "worse". It's worth pointing out that council requests are uncommon, so saving all your corpses probably isn't going to pay off. Council requests will probably be of much greater value than selling the corpses, to be sure (I sold 6 light plasma rifles for $1500).
As of Enemy Within, you can get gene mods from autopsies, in addition to the existing research benefits.
- Outsider Shard - (1) Skeleton Key (but I'm not sure if you can sell these anyway).
- Chrysalid - (4) chitin plating
- Ethereal - (1) mind shield
- Berserker - (1) combat stims
- Floater - (3) dodge power up
- Heavy Floater - (4) advanced repair, (2) Advanced Flight
- Cyberdisk - (2) tracking power up, (2) Advanced Flight
- Drone - (2) Drone Capture, (2) Advanced Flight
- Sectoid - (3) aim power up, (4) Xeno-Biology
- Sectopod - (2) advanced construction
- Thin Man - (4) Improved Med Kit
New from Enemy Within:
- Thin Man - (2) Gas Grenade
- Chrysalid - (2) Needle Grenade
- Seeker Wreck - (4) Ghost Grenade
