What class are you playing as? A lot of people apparently think Mass Effect 2 = Mass Effect 1 and start up vanguards and adepts expecting them to rickroll only to find that they blow chunks at higher difficulties. That biotics except for warp will not affect barrier/shield/armor makes it near useless on higher difficulties when even husks are rocking armor.

Sentinel is definitely the best class this time around with great powers and extreme survivability. You've got overload for synthetic enemies and warp for armor/barrier wielding enemies. Bundle that with godly tech armor which doubles your shields, reduces your power cooldown, and gives you a knockback stun on it's destruction and you are rocking. Ammo is never a problem with me as using a gun on some fights is simply optional. Naturally I pick the assault rifle for my second weapon choice and armor piercing ammo for my bonus power. Warp power seems better, but I've found that barrier enemies are relatively rare, more importantly that the bonus damage to biotic affected enemies is rarely utilized because 1) pull is useless on insanity and 2) you don't want to be out of cover to take extra potshots and risk your shields going down. Lots of simply armored enemies though.

My preferred build is as follows.

Squad Armor Piercing Ammo 4
Guardian 4
Power Armor 4
Improved Warp 4
Overload 3
Throw 2

Basically on insanity, your squad is a big help and more than just a simple meat shield than on lower difficulties and the best team unfortunately doesn't come with their own ammo powers. I prefer using Miranda and Mordin for their powers and passive bonuses. Mordin is fairly resilient for his shield bonus and the squad damage bonus and warp/overload combo from Miranda cannot be dismissed. Not to mention both are packing SMG's which is a godly weapon (shotguns suck, which is why I never using anyone with simply a shotgun and pistol. I'm looking at you here Jack, Jacob, and Tali). Grunt and Legion may seem impressive with their tons of shielding/armor but their skills are definitely lacking. Not to mention I've found that companions rarely die later on on their own unless they do something stupid like get out of cover and when that happens the extra life won't protect them. I've found Garrus and Zaeed also useful since Garrus has Overload (pair him with Miranda on synthetic heavy missions for triple overload) and Zaeed has that nifty Grenade. Naturally both pack assault rifles.

Guardian for the slight bonus in HP and cool down reduction outweigh the bonus damage you get from Raider. Power Armor not only gives you an extra 25% shields but more importantly even more cool down reduction. Much better than assault armor as I generally tend to avoid having the tech armor go down as the cool down on recast takes too long.

I generally favor Heavy Warp over unstable Warp for your primary because of two things. One, unlike the squad version they have the same cool down (6 seconds) and two, the enemy is smart enough to spread out and I only occasionally catch more than one target per warp despite it's 5 meter radius. For squad mates with the power, unstable is the way to go for the 9 second instead of 12 cool down timer which compensates for the less damage and as a bonus you get a 7 meter radius.

Overload I leave at 3, even though I would love to take to 4 simply because Warp is a more useful power against a broader array of enemies. The problem is that you could take it to 4 if not for the annoying fact that you need Throw at 2 before you can take any points in Warp.

Throw I've found fairly situational in it's use and on some maps you can shove people off of bridges to their deaths. Mostly though I use it for one purpose and one purpose only, killing husks. The 3 second cool down combined with all your bonus reductions mean you can spam this skill quickly as soon as it hits. I've found that the husk armor goes down fairly quickly to direct fire, incinerate, and warp but their life takes more bullets to shave off than their armor. Throw is effective because the husks are so light and go flying and when fighting husk swarms my strategy is to have team mates use their skills and attacks to take down the armor only and then throw them. It's more efficient and saves ammo.

For weapon choices, I generally go with the vindicator battle rifle, carnifex hand cannon, and tempest smg. The battle rifle is superior to both the bonus collector assault rifle and geth pulse rifle in damage. If you look at the coalescedini file on the PC you can find the actual stats of the weapons that they don't show and the battle rifle does more than 3x the damage per bullet than the avenger assault rifle. The collectors rifle and geth pulse rifle do somewhere in between. Admittedly you get more ammo, but on insanity you want to spend as little time exposed out of cover as possible and want to maximize your damage during that time which makes the vindicator the best choice really at mid distances when you can pop off a 3 round burst head shot and get behind cover while your powers recharge. The tempest SMG as I mentioned earlier is godly and has surprisingly good accuracy fired in bursts. More importantly though, it does 40% more damage per bullet than the Avenger assault rifle and has a bigger clip. Also on my play throughs, it tends to be the first weapon I can maximally upgrade while the others are only at 3/5 upgrade condition. At close range, your weapons deal 2x damage than normal to enemies and it is a life saver when you are being swarmed by husks when you can just unload on them regardless of accuracy. The Carnifex hand cannon does around 80 damage per shot from what I can remember, the problem is that unfortunately it's ammo capacity is way reduced from what it should be. The total damage of bullets is actually less than the original heavy pistol which can be a problem in long fire fights. However, since you are mainly relying on your powers and other weapons, this isn't as much of a problem and the heavy damage per bullet and good accuracy lets it function as an ersatz sniper rifle and gives you more time to remain in cover.

Heh that reply went longer than I had anticipated. It probably deserves to be it's own topic.