It all depends on what my opponent has.
Lizardmen is an army that needs the synergy between units.
Choosing one unit for vanguard every game is generally a bad idea.
I like to Vanguard:
Character Bus
Razordons
Salamanders
Steggadon(s)
Skink Cohorts
Kroxigor
Saurus Star (yeah, I've got a movement tray that holds 60 of them).
So far, the Saurus Bus had been the most successful vanguard. 10 wide and 6 deep (plus characters), vanguarding up the center makes it next to impossible for my opponent to redirect it in time. With MR3 on one of the characters, I'm not opposed to dropping comets point blank if my opponent throws multiple units into it.
When I don't run a death star, I find vanguarding to be very dependent on terrain and opponents deployment.
-Matt