If you are a Soldier in the 1st you and import it you will be a Soldier in the 2nd, then if you import your save from the 2nd to the 3rd you can change class in the 3rd. If I remember correctly.
Personally I found Soldier to be a fairly bland class to play. Vanguard is pretty crazy, Adept is also quite cool. Infiltrator is also fun too.
The infiltrator is great in the 2nd and 3rd games if you like sniping. In the first game there is no slowdown/bullet time so I wouldn't recommend it.
The vanguard is a fun class, up close and personal.
Adepts are great too, sentinels have survivability.