Soldiers are probably the "best" class for insanity level play in that they start the game with all weapon types, and adrenaline rush at even level 1 is amazing - you do double damage from weapons, and can use it to move out of harms way. Unlike other classes they dont need a lot of skill to play.
Vanguards on insanity START the game weak, they lack sniper rifles or direct damage dealing powers like incinerate. Charge at level one is very weak, for example it does no shield recharge and has a 6 second cooldown.
However, a high level vanguard is a monster. Once you have Heavy Charge and Max Cooldown (Max Passive class, and get the biotic 20% cooldown) you are a monster. For even more fun, add Inferno Rounds, and Squad Cryo into the mix.
You haven't experienced ME2 fully until you slam into and send flying a Krogan/Geth Destroyer etc using Heavy Charge with time slowdown. Great fun.
Also, Soldier has no access to any arc-able powers (concussive shot is straight line only to target, no arc-ing). So a shame if people never experience that.
[/Vanguard Defense Force]