One of the great features of Vegas is scripting and of course the people who write them. My all time favorite is "Open in Graphic Editor" by Gilles Pialat. It allows you to open your still images in Photoshop (or any other graphic editing program) with a single click. It also gives you the option of opening the graphic as a new take.
His scripts are available here:
http://sony.vegas.1.free.fr/
I also find Excalibur by Edward Troxel incredibly useful and well worth the price. What's your favorite script?