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5 Vanguard Vets will perform better than you might think in a lot of ways. Generally the Power Weapons are the real draw, as they will turn the unit into a proper Marine-muncher. My preferred loadout is four Swords and a set of Lightning Claws, and I've found that this is a good mix between power and efficiency. There aren't many objectively bad options, but I'd warn you against over-spending on them. I would specifically advise that you avoid pistols, however. Plasma Pistols are too short-ranged and will overheat and rob you of an expensive model at the worst possible time, while Inferno Pistols will need to get within 3" to make use of the Melta rule, which will put you squarely in range of the inevitable vehicle 'splosion. Both options are far too expensive. Hand Flamers might be another kettle of fish, but I don't have any experience of using them. So yes, I'd take a smallish squad with specialised melee weaponry in order to back up a combat character. Power Axes will give you Ap2, albeit at Initiative 1 (incidentally I don't recommend too many Storm Shields, as they get pretty expensive as well), while Power Mauls will Instant Death anything with T3 (Farseers, Autarchs, Archons... erm... all the other things with T3 and multiple wounds). Anyway, as with anything it's a matter of finding a way that works for you. Try a few things with proxies before you commit.
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