I've only ever played one character (two ME1 playthroughs, partway through second ME2), and she's a Soldier. Seemed like the simplest choice at the time, and I like having a gun for every situation as opposed to being specialised in one thing or another and having to bring along teammembers that "compensate" for my "weaknesses". Weaknesses? What weaknesses? What's that, want another helping of level-10 HE rounds from my level-10 Spectre Shotgun? Oh, you're far away, are you? Well then, I'll just park right here, about a quarter mile away, and calmly headshot you with my level-10 Spectre Sniper Rifle. Oh, you ducked behind cover, did you? No problem, I'll just shoot the ground next to you with my portable Schwere Gustav. Or maybe I'll be cruel and just shoot your cover, sending it spiralling into the air like it's made from cardboard. Oh, you try to sneak up on me from behind? No problem, I'll just point my handheld artillery in your general direction and the splash damage will do the rest.
I've tried some of the other classes, but I just can't get around the limited weapons, and the fact that you have to pause every six seconds or so to launch another special attack. If I wanted to play like that, I'd have bought a Final Fantasy game =P