From Vegas to elsewhere:
AAF is the best option if the other apps supports it (AVID and Premiere Pro 1-3 do). File >Save As> AAF
For FCP, which doesn’t support AAF, you can try an EDL. Tools>Scripting> Export EDL> This will you you a CMX 3600 style EDL that FCP should be able to eat.
From elsewhere into Vegas: AAF is the best way. CMX EDL import is not supported.
The best compatibility is between Vegas and Premiere CS2 or 3/Win.
Test the complete workflow before you commit to anything- there’s a million potential pitfalls when trying to move projects between systems/platforms. Format compatibility, timecode, codecs, recapturing, error handling- there’s plenty of possible conflicts. Do not assume it is just going to work perfectly until you’ve seen it work yourself – don’t always believe what you read on the web in other words (this post excepted [!])