How I ran my soldier class on ME:2 on Insane difficulty with outstanding results.
When it comes to the Soldier class in Mass Effect 2, a lot of people I know used it as a one-man army full-auto tank that ran into the fray and gunned the enemy down with superior firepower.
I found that this tactic was not appealing. So I began to play my soldier class a little differently. My weapon of choice was the Mattock Heavy Assault Rifle. Single shot, but was more powerful than say the Avenger, or the Vindicator.
My choice of the Mattock, meant that I was able to be more precise with my shooting. I could easily engage targets at long range and if the enemy got too close, I would simply change weapons OR press the trigger as fast as I could.
This gives you a nearly full-auto heavy bore rifle in close. Just remember not to do this too often because you will burn through your ammo very fast.
The most important power for the soldier in my opinion is Concussive Shot/Blast. Too many times when I was playing, I would have my shields taken down by some pesky little collector who proceeds to go behind cover. Concussive Shot them out of cover, and send them flying! :]
That will put them out of action for a while and allow you to focus on another target. Concussive blast is even more handy! When you enter an area, and the enemy force enters the arena, most of the time they are grouped up! BLAST EM'! Several will go sprawling, allowing you to pick them off while the birds are circling their heads!
Another very important aspect is to bring squad-mates that compliment your choice as the soldier. I take a Biotic, and an Engineer.
If you are trying to take out an enemy that is far out and behind cover, use your Concussive Shot or have a squad-mate use a biotic power to flush them out into the open!
The Mattock will shred enemy biological units with ease! If you run across someone clad in armor or shields, have your squad use Overload or Warp to weaken them up for you!
To sum up,
-Mattock Heavy Assault Rifle
-Concussive Shot/Blast <- (Very handy for groups of enemies!)
-Squad set up with Biotic/Tech powers to help me with strong units/swarms
Remember: Especially on Insane, your squad's abilities are very important! Just running out by yourself and not using them will get you killed and maybe even controllers thrown here and there ;) Your squad is there to have your back. Use them right, and it will get easier and easier.