Revenant + inferno ammo + GSB (against scions).
Praetorians are a lot like tanks, they need infantry support to be deadly. If you can kill the husks/collectors that they have with them, it's easy to outmaneuvre them, even on insanity. Party composition is of course vital, too, Miranda is extremely useful on all difficulty levels, but her Warp and Overload are vital on insanity.
I can't for the death of me remember who else I had on the collector ship with the Soldier (see, closet neanderthal here) I've use for insanity runs in both games. Probably Zaeed, he has high dps and a decent anti-armor power. Could've been Grunt too. Have to see if I have a suitable save left over.
Derelict Reaper is hard(ish), but nowhere as bad the collector ship and Horizon - well, unless you are an Adept, I guess, and there's tactics for even that, as pointed out above.