I am starting the game now and I won't have time to play through again. I just started as a Vanguard but I might go back to change it to Soldier based upon reading other posts. I am playing on normal difficulty
I think it depends on how you want to play. Both Vanguard and Soldier seem like they would be really good options. Soldier is good because you have proficiency in every weapon, which can really help if you don't have a lot of experience using abilities (also, the Assault Rifle is great). Vanguard is a hybrid Soldier/Adapt, so you get proficiency in at least Shotguns, as well as a few powers to play with. The downside is that you are limited to medium armor so you are bit more fragile.
Personally I started with Adept the first time which worked ok for me.
I would probably recommend staying away from Engineer though, that one is a bit tougher to play and not as strong as other classes.