Yeah, doing this a bit backwards, but I just got the original. Started playing on Veteran and so far and it's fucking frustrating, mostly because of lacking autosave. Is Insanity worth those 50G, or should I not bother?

Once you earn 1 million credits you get to purchase significantly better guns. Playing soldier, the game became a joke with those weapons.

Depends. Insanity is easier with New Game+ in ME1, but it makes insanity more difficult with it in ME2.

The harder settings on ME1 are an absolute joke, especially with the more powerful equipment you can get from a new game plus file. 
The enemies can use some annoying powers (like the one that makes them invincible for short periods of time) and it can get somewhat annoying. 
 
But certainly not as difficult as it was in ME2.

" Depends. Insanity is easier with New Game+ in ME1, but it makes insanity more difficult with it in ME2. "

Insanity is very doable on Mass Effect 1, it's a joke with an Adept

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Insanity on the first game is such a joke. It's not hard at all.

Max out Garrus' Sniper and Liara's Singularity and it's cake. The invincibility buff that certain NPCs use won't matter if they're stuck in the air just waiting for you to knock 'em over a ledge/into a ditch.

Yeah here's a fun thing for you guys who want a challenge.Set the difficulty to Veteran(It's enough unless you really want to pop a blood vessel) and do the loyal mission for Zaeed early on in the game.
 
When you reach the part where you try to catch his nemesis from escaping in his ship you'll know what I mean. The enemies fuckin INFINITELY spawn out of the east, west ,north east, and north western side!When I did it my team mates became useless and would only run into gunfire even though I told them to take cover.You kill one guy and another pops right out!And if you can survive the onslaught you have to cross a bridge guarded by a fuckin goddamn mech !Only fuuuuuuuuck!I punished myself with this not only trying to beat the game on veteran(which wasn't to bad up to this point)but to pick up the friggin credits in the enemy spawning locations(bad idea don't do it). It took me days of trying to no avail each try failed.
I literally pulled my hair out and gave up, until I just said "Fuck it" and completely sprinted through the whole place and the friggin bridge!Only to pass through the door seconds after the mech woke up, and it worked! I haven't played the game since.

The game doesn't get more challenging on the higher difficulties, it just becomes grind-y. Even with the best gun and upgrades in the game, my 60 soldier feels like it just ticks away at the enemy health, especially if they have immunity. It doesn't help at all that headshots don't do extra damage, so basically what it feels like when playing is running down a corridor holding down the right trigger spamming immunity on my Shepard to stay alive, which requires 0 skill especially when my gun cannot overheat, I don't even hold down the aim button. I just run and gun, if you were to play this way, I suggest taking 2 biotics, (Liara is a must, and decide between Wrex or Kaidan).
 Have them lift, pull/ push/ singularity/ warp your target and shoot them til' dead, repeat.