The Vanguard is an awesome class in ME2 and ME3, but it's not as good in ME1 since you don't get the Biotic Charge power, making it basically half-soldier/half-adept instead of its own class.
Infiltrator is a great class for ME1 because you can upgrade your skill with the sniper rifle - which is extremely useful on some side missions in ME1 in which you can actually snipe from a very long range, and because you get Electronics and Decryption - which allow you to get much more loot regardless of the squadmates you choose to take with you.
My suggestion: stick with Infiltrator at least for ME1, and maybe change to Vanguard when you start ME2.
Infiltrator is a great class for ME1 because you can upgrade your skill with the sniper rifle - which is extremely useful on some side missions in ME1 in which you can actually snipe from a very long range, and because you get Electronics and Decryption - which allow you to get much more loot regardless of the squadmates you choose to take with you.
My suggestion: stick with Infiltrator at least for ME1, and maybe change to Vanguard when you start ME2.