I've played through each of the games multiple times, and I've played a vanguard in each one, and it was fun each time, and interestingly, functioned differently in each game. In ME1, Shotguns have excellent range as well as damage, and can be enjoyable to use as an alternative to the other excellent weapons in the game - Assault Rifles, Biotics, and Pistols, all of which you also get.
In ME2, you find yourself with more constrained options, which rewards a more aggressive, upfront, style of play. It can get tricky, and can get you killed, but anything to get away from cover-based shooting.
And finally, in ME3, you get an improved combo of Charge and Nova. You've got your choice of guns in this, access to any powers you need through your squadmates, and a good variety yourself. You can play more or less like any other class, but you also have the alternative of, again, abandoning cover-based shooting in favour of blasting in there, shooting things, and having your shields regenerate like crazy. If you get tired, then go back to playing the way you've always played, or try to find new ways. But it can be a lot of fun.