In ME1 a Soulja has Immunity, Adr Burst, and innate health regen. The Vanguard only has Adr Burst, and Barrier, which a Soulja could take as a bonus power.
In ME2 a Soulja has +50 health and a power that ramps damage versus all enemy types and all enemies, including bosses. They have only have 1 other activated power but have snipers and ARs for dealing with folks at mid to long range. Vanguard has the same health as a damn Engineer or Adept, no powers that work at range (except Shockwave, kinda), and their class skill can only touch certain targets.
In ME3 Vanguards got Nova and became beastly if you spam Charge & Nova. That same repetitive type of play is somehow less boring than playing the game as a cover shooter Soulja though.
Vanguard was definitely not OP the whole trilogy like a lot of folks claim, and even a fully-kitted Soldier that ignores weapon weight is still fukking people up with the quickness, especially with all the DLC weapons. A Wraith/Venom+Typhoon+Black Widow Soulja is still a walking nightmare.
I like a machine gun (no scope) + heavy sniper rifle combo myself.
I also like doing Horizon early both run throughs and using a maxed-out Saber with no scope as well.