Using Vegas only? You can create a new video track above your feature. Right click and select 'Insert Text Media' Select the font you want and make sure your background is invisible(it's the default) To do something simple, you'll have to use keyframes and maybe pan & crop to get the simple animation you want. (like an arrow pointing with animation)
If you have another program that will animate lettering, you'll want to use (probably) a green background and then use your 'Chromakey' to make the background invisible. (when brought into vegas and placed above your video, you can select this 'Chromakey' option from 'Event FX') This will leave the animated lettering hovering above your video.
Other suggestions will follow almost immediately.