@Chaplain Matthias: For me, every sword brethen with power weapons + plasma/grav pistols and the occasional storm shields for extra durability. Swords and axes, maybe a pair of maces when you want more str for T5 foes and armor isn't important due to lack of it or inv saves. Maybe dual lightning claws on the squad leader for extra attacks with those sweet wound rerolls. Special pistols are great (and even more for their cost, compared to other editions).
I wouldn't model them with thunder hammers, power fists or the like. For me, that's terminators job
Also, if I land vanguard vets, always with jump-packs. If I had to field them without jump-packs, I'd rather field some cataphractii terminators with fists or claws (depending of their desired job and opponent)