You kinda need a starting point.
Vigilante is the most flexible class, and you need to chose early on the way you want to play. You can build a good martial, a decent 6/9 caster or an apt skill monkey. Possibly a face, a scholar or a sneaky git. Or a mix.
So, what do you feel like playing ?
As for experiences, my one Vigilante pc got in the game late, as a level 7 or something multiclass.
We were becoming too high profile, my former military Bolt Ace still had a big enough family to worry about foes striking at them - especially considering it kind of had already happened to some more visible party mates.
So, I officially retired from this whole "adventuring" nonsense to join said family's merchant business, though not without introducing someone who'd be a better fit. I had worked pretty hard on my image as the "ordinary guy" in a bunch of weirdos anyway, so hanging up the gloves to let "mysterious crazy good crossbow guy" take over worked.
The timing and circumstances made it more believable than my short explanation.
The Vigilante part wasn't the core of the character, but he certainly was a fun and interesting guy to play.
It's a fun class. But you need to have an idea of where you want to take it.