The short version is that I really liked it. Vanguard is like a precursor to EDH, so it played as a fast Commander game.
I went through the legendaries, finding ones that would make good Vanguards. We passed them out to each player randomly, and each player could choose one and put the others in their deck. The Vanguard is in the Command Zone, but not in play — you don’t cast it, it can’t be targeted, etc. Instead, the card’s text impacts the creatures in play. For simplicity, we decided that the card text would apply to all creatures. The Vanguard’s power was added to the starting life, and the creature’s toughness was the opening hand.
For future play, the main thing will be to balance the creatures, and clarify if text only applies to creatures, or if it might instead apply to upkeep (such as scry or draw effects).