AE and Vegas are a great combo to use, though of course AE is designed to be integrate better with Premiere. As far as output from AE to Vegas, there is no reason why rendered files won't float either way...Vegas will pretty much accept any file other than some Divx...can't say the same for Premiere :/
If you want to keep ultimate quality going from AE to vegas, then render out an uncompressed file, though DV is fine if your source started as DV, but motion graphics and titles is best kept uncompressed.
I use this combo quit a bit.
AE 5.5 will render in any codec installed. I mainly use it to produce 32 bits .mov animations to key over video in V4. Only bug (John Cline did describe the technical issues in a previous post), a frame at 2sec 28 frames is repeated when imported in V4. I have to manually find this frame and split it out.
But other than that, everything is OK.
You may want to hold off a little and evaluate Boris Red coming out soon. I like the workflow better and it will work as a plugin to V4!!! And Boris Red will be able to use AE plugins to boot.