Just so I know where not to hide my Heavy soldier behind.
I'm almost sorry to have to tell you this, but by and large there's no such thing as a non-destructible environment; by and large if you can take cover behind it and it isn't actual ground, it can be destroyed -- and in fact, most aliens that carry grenades love lobbing them at enemies in cover.
The only real exception to this seems to be car wrecks -- after a car explodes, the wreck can't be blown up a second time and I think it'll keep providing what little cover it does for the rest of the encounter...
You'll simply have to learn through experience which objects can be destroyed, which ones can get damaged but not ever fully removed, and which objects explode when shot.
I'd primarily worry about the last category, which is primarily made up of cars and tractors.
Generally speaking, if it doesn't disintegrate after being hit by a rocket, you're not going to lose your cover due to terrain destruction.