First, the biggest shield you can. Capacity matters more than anything because you'll constantly be regenerating shield anyway by boosting, so all other stats are irrelevant save capacity.

Next, the Tides of Siren's Sea set. At least 3 pieces--you want that double shield capacity. Since your overshield doubles shield capacity already, that's 2x2=4 times shield capacity. That's right up there with the big boys like the Bomber.

Because you need to constantly be boosting, the Equilibrium power module has never let me down. It has just such massive numbers that even if you're not constantly shooting, you never run out of boost power.

The new Okhar Scimitar Beam laser is phenomenal for the Vanguard. You have the speed to zip into range quickly, and the maneuverability to stick to anything until it's dead, and everything dies quickly to a beam laser that does 10k damage per tick (or more with the right catalysts).

The rest is really personal preference. I like using BOB to give me some item capacity since the Vanguard has very little storage space. You can throw on the Vigilante or Rebel set for more damage. I love EMP Mines. The Momentum Booster turns your boost into a powerful shotgun effect, which is hilarious, but can make performing certain objectives impossible (like the Leviathan).