Continuing on to the defensive classes: The Demoman, The Heavy, and The Engineer.
The Demoman
Primary: Grenade Launcher
Secondary: Stickybomb Launcher
Melee: Bottle
The Demoman, true to his name, is a demolitions expert. He's very slightly slower than most of the other classes, but he can Stickybomb Jump in a manner not unlike the Soldier to quickly cover ground. He also has a healthy amount of HP (no pun intended).
The Grenade Launcher is a great tool - imagine a slightly weaker Rocket Launcher that can shoot around corners! A direct grenade isn't gonna leave much behind, and a quick follow-up shot will trash mostly everything. However, keep an eye on your ammo - it can be eaten up pretty quickly.
The Stickybomb Launcher is a great defensive/ambush tool. Simply lay some Stickybombs on a Capture Point or just behind a door frame, kick back until you see some enemies nearby, and BOOM! Also, being able to keep 8 down at once can guarantee NOTHING will live if someone eats all of them. They're also useful for harassing anyone chasing you - run away, lay one, detonate, wash rinse repeat.
Unfornately, I think you've noticed a trend - the Demoman simply can't deal with close range attacks, for his splash damage will damage himself in most situations! Hope your Bottle swings true.
The Heavy
Primary: Minigun/Natasha
Secondary: Shotgun/Sandvich
Melee: Fists/The Killing Gloves of Boxing
The Heavy Weapons Guy. Arguably the face of Team Fortress 2, being featured on the box art and also having the first Meet The Team video. As his frame would suggest, he's very slow, but has the most health in the game. Watch out for Snipers and Spies - hunting Heavies is one of their past-times.
The Minigun is all about anticipation. There's a brief rev-up period that occurs before actually firing, so make sure your target is either occupied or oblivious. At close range the Minigun will eat anything within seconds - but it's rather inaccurate, and each bullet individually won't do that much damage. In addition, during the windup and while firing, the Heavy slows down significantly further - crouch, and he can't move! Natasha, on the other hand, is good for taking out Scouts, Medics, and other classes that need to move around - on hit, Natasha will slow the target down. In exchange, though, Natasha deals 25% less damage - make sure to travel in groups and avoid Minigun Heavies.
The shotgun in this particular case seems... out of place, in my opinion - range isn't something the shotgun was built for, and the Minigun (either one) seems a lot better up close than a shotgun. Granted, it's not useless (as I'll explain in the next section), but you may prefer the Sandvich instead. The Sandvich is a great tool - it deals no damage, but when consumed, the Heavy will go back up to full health! Considering you have unlimited Sandviches, this is a great deal! Also, when you right-click, you'll toss your Sandvich. Now, you'll lose your ability to pick it back up - you've got to grab a medium medkit while at full health or go to a resupply locker to get another Sandvich. So why would you toss it? Anyone who picks it up gets 50% health restored. Your Medic is about to die? Toss him a Sandvich. Enemy Spy running around with low health? Bait him with a Sandvich.
JOO ARE NO MATCH FOR SANDVICH
The Heavy's Fists is his melee weapon - he'll kill you with his bare hands. He can also tauntkill - POW! - and it actually has great range. Use only on unsuspecting targets, though. But when he dons the Killing Gloves of Boxing, he'll have to swing a bit slower than normal, and he can't tauntkill. But should he land a kill with them, the Heavy gains 5 seconds of 100% crits. HOWEVER! Don't go and grab your Minigun - the rev-up time will eat some of your crit power. Grab the shotgun instead and fire away - or keep swinging your KGB if there's a lot of heat on you.
The Engineer
Primary: Shotgun
Secondary: Pistol
Melee: Wrench
Special: PDA
The Engineer is king of area denial. With his Sentry Gun, he can easily defend a bottleneck or a critical area single-handedly... until an Uber or a Spy come waltzing by!
The Shotgun, in the Engineer's case, is his main way of Spy-checking without a friendly Pyro running about. It's spread means it's got the best chance of checking for cloaked Spies, over the Pistol and the Wrench.
The Pistol doesn't change that much - it's a good way to pick off Spies that are running away from you.
The weapon that you'll be using most, strangely enough, is the Wrench. As a weapon, there's nothing special about it. However, it's also used as the way to make your buildings build faster and the way to upgrade said buildings. Just whack them, and you'll be reaping the benefits.
The Engineer actually has two PDA's: a Build PDA, and a Destroy PDA. Build builds buildings, Destroy destroys them. When you open either menu, you'll see if you can build/destroy a Sentry Gun, a Dispenser, a Teleporter Entrance, or a Teleporter Exit. Each building has their cost (130, 100, 125, and 125) in metal - a resource unique to the Engineer - to put down, and each building takes an additional 200 metal (which can be obtained from lockers, ammo boxes, and dropped weapons) to upgrade one level, for a maximum of 3 levels each. I hope that wasn't too complicated... Anyway, it's a lot easier to see this in action - my advice is to watch people who are Engineers, and see where they place buildings to learn Engineer setups for any given level. Hell, if you go Pyro while you're doing it, the Engineer will thank you for watching their stuff.

Oh, one last thing - Spies can attach Sappers to your buildings, which disable them and sap their health away until they blow up. Two whacks with the Wrench will destroy the sapper... but that Spy might be right behind you as you do it. Be warned.