Elite is the highest difficulty level available in Killzone 2, Killzone 3 and Killzone: Shadow Fall (with the Insurgent DLC) The game has to be completed once on any difficulty before Elite is unlocked. When playing on Elite, you take significantly more damage, Helghast can take more damage before they die and their AI is increased; this shows in their behavior as they will throw grenades more often, don't leave cover for more than a second when being shot at etc. Elite difficulty also removes the player's crosshair to make it even more difficult and you do only have three lives in Killzone: Shadow Fall to complete the game. Beating Killzone 2 on Elite earns the player the gold trophy "Heroic Survivor", doing so in Killzone 3 rewards the player with "Victory".
"The ultimate test of your abilities as a KILLZONE player." description in Killzone 3