VEG is the project file, BAK is a backup of that file. In case you get corrupted during the edit, you possibly have a backup file. I think you can turn this off.
Vegas also makes seperate backups. Those are jus the time sbackups (I belive). I'm pretty sure that Vegas makes a temp veg file to edit in & there's backups of that too. If you crash while editing that's the one it loads upon startup 9if you click the yes button to the "do you want to load the last project" question0