The Stun Lancers is the most deadly ADVENT unit because of the effects of its melee attacks. Their mobility adds greatly to what they can do. ADVENT Stun Lancers have double the amount of the Movement tiles than the usual. They can easily reach your units and hit them fast and hard.
The Stun Lancers' melee attack can Disorient, Stun, and most dangerously, render your unit Unconscious, effectively removing one unit out of the field. Unless of course you have a unit with a reviving protocol. And of course, since this is XCOM 2, your unit with a reviving protocol goes Unconscious. Ce's la vie!
Also, their damage and hit rate are also high. You are sure to get hit by one, so be prepared.