Your shadow travel can make you immune to everything. Use it to cancel ultimates and abilities, or use it in sticky situations. (I recommend using veil since it can make you go into shadow travel faster.)
Ruckus with Wrecker can literally melt your shield! Formidable might be a good alternative to Aegis, since it gives you healing when your shield is abscent, but only once every 40 seconds, so enter the fight at the right time!
Skye has the highest DPS in the game when at close quarters. Sometimes it's better to turn around and block her shots with your shield or Charge away. Judge from where the most damage is coming from.