I'd also advise against playing as a Vanguard for your first run. Depending on who you are, they could end up as awesome but impractical, or difficult but awesome; either way, they're not a good class for a beginner.
In my experience in Mass Effect first I play normal then in my second play through I go one level up. I think its hard because all your points carries over from your first play through.
In Mess Effect 2 in my first play through, I play on normal no matter what class. Then on my second play though I go on hard which is two levels up from normal. The game shines on hard and upwards.
In my games for Mass Effect 2 carries over from Mess Effect. Most of the time I don't change classes or my character looks.
I cannot wait for ME3 it looks good. I wait and see.