I switch classes ALL the time, I've been playing long enough that I can play as anyone and I will normally go for the class that no one is playing in the game. The load out you choose is very dependent on how you play as well. For example, I'm one of the worse snipers in terms of headshots you can imagine, but when I give the Sniper a Huntsman (Bow and Arrow) I can easily top the leader board. Although if you had to ask me my favorite class it'd be pyro by a long shot. Nothing like flanking enemy forces with cleansing flame. Give me an Uber or a Kritzkreig to go with it and I'll clear out a turret nest.
In terms of classes this is my style:
Scout: Force-a-nature, Boink, Sandman - Run around out back and take out teleporters, flank snipers, knock a baseball into a crowd and use your invincibility to distract turrets. I'm all support when it comes to scout.
Soldier: I can't play a soldier for tits. Some people who can wipe out entire teams with him, the only person I usually blow up is myself.
Pyro: Backburner, Flare Gun, Axetinguisher/Homewrecker - Spy check, flanker, all round bad ass? Pyro is my all time favorite class, not just because he/she can rape medics, scouts, demomen, snipers... well anyone else but a Heavy. Watch out for those Heavies, seriously they are the bane of your existence.
Demoman: I'll be honest, besides for Medieval games I don't use him much. Occasionally if a turret nest is blocking us, but even then not really.
Heavy: Natascha, Sandvich, [own preference] - Heavy is my second favorite class, he is a room clearer and when combined with a medic who knows what they're doing is often a game changer. As long as you have someone keeping an eye on spies than just charge forward.
Engineer: When you know the layout of a stage well, the Engineer can stop an army. However playing the engineer is really heavily dependent on how good your team is at supporting you. I know the perfect positions to put turrets on payload maps, but if my team let too many enemies through or if they don't help me when I get overwhelmed than there is no point.
Medic: There is often an issue with either too many medics or not enough medics. On some games you can get away with not having any Scouts or Engineers but you should ALWAYS have a Medic, on a team of 12 you should have at least 2. Use Kritz if you're on the defense, and you uber if you are on the defense. Haven't tried the Quick-Fix yet, however combined that with a pyro and I imagine they can cause some serious damage with the immunity to movement impairment.
Sniper: Huntsman (I renamed my Huntsman - 'The Penetrator'), Razorback/Jarate, Tribal Man's Shiv - If all fails fire into a crowd and hope you hit something. I like the Huntsman, it lets me get closer to the action and the Sniper becomes deadly in narrow corridors.
Spy: There are different ways of playing dependent on the type of invisibility you use. Personally I go for the Cloak & Dagger. Patience is everything. Waiting until you're able to sabotage structures or backstab key enemies when your armies push through. Even if you know you can't destroy a building, sapping it at the right time can win you a game. Very few people realize this. People on your team don't push forward when you sap buildings, they expect you to destroy it before they move forward. Some spies won't even sap if they don't think they can cause alot of damage so they just sit there doing nothing until a pyro comes by and burns their nipples off.