Vanguard Veterans are an elite version of the standard Assault squad, composed of Veteran Space Marines with access to lots of specialist weaponry. Fortunately, they dropped massively in point cost from last edition, but their Heroic Intervention no longer allows them to assault when they Deep Strike. They now ignore the penalty for disordered charges and automatically pass tests for Glorious Intervention. These are handy but situational advantages; they won't change the game like assaulting from Deep Strike but the squad has decreased in cost enough that it's worth it.
You include Vanguard Veterans for their equipment, not their special rules. Any model can take melee weapons such as power weapons and power fists, as well as grav and plasma pistols and storm shields, and the Veteran Sergeant can take a relic blade. If you want a jump pack squad that can take out heavy targets, Vanguard Veterans are your best (really only) choice. Don’t go overboard on the melee weapons; three or four are enough to wipe out most enemy squads, and they get expensive quickly. Alternatively, I’ve heard that some players have had success arming every model with two grav-pistols. These can Deep Strike and produce a ton of very dangerous but short-ranged firepower. This seems very expensive to me (I would prefer to just take a Command squad with plasma guns and a Drop Pod) but it certainly packs a punch.