Well, for the first Mass Effect, I always played Soldier, mainly to just tank my way through the whole game. The combat was serviceable enough, but I never really enjoyed it much. It seriously needed refining.
For Mass Effect 2, however, I started playing as either Soldier or Infiltrator, before I realized that Engineer suited me much better. With the Assault Rifle training from the Collector Ship, and the Firepower Packs Mattock, I was a force to be reckoned with, what with Overload and Incinerate at my disposal. That, along with Armor Piercing Ammo, and I was golden. I still played Infiltrator, which had a nice twist thanks to the Tactical Cloak, but I ended up preferring Engineer.
When Mass Effect 3 came around, I ended up with sticking with either Infiltrator or Engineer, again with Armor Piercing Ammo as my bonus power. As a perfect example of where I ended up going with my Engineer lately, my Shepard is running with an N7 Typhoon, and an N7 Eagle, and I focused as much as I could on Ammo Capacity and Power Recharge. I went for a full Support Gunner Shepard, with a massive gun, and spammable, hard-hitting powers. The battlefield is mine, baby.
Now, I've tried Vanguard, but in all honesty, I'm not a fan of biotic classes, the Vanguard in particular. Even as nice as the Shotguns are, I never actually ended up using them very much, at least as a Soldier. Sentinel seems interesting enough, but I feel that it would be the same case as my Engineer, what with spamming Overload to kill shields and barriers, then Warp/Incinerate to kill armor and health.
So, Engineer, all the way. Screw Space Wizards, go for the latest in high-tech weaponry, don't be some dumb grunt.