This is about normal for video editing, unfortunately – especially if you are editing HD video on a modest PC. What are your system specs (processor type/speed etc) and what type of video are you editing?
Transitions and effects can have a big impact on preview performance too. There is an immense amount of number crunching and data shuffling going on, so even the latest greatest multi-core PC can be brought to its knees with a complex project.
There are several tricks to make things go smoother though. You can use intermediate video formats like Cineform (where you convert your video to an easy-to-process format without noticeable quality loss), use proxy editing (where you work on a low-quality copy of your footage then switch to the originals to render the final output), or use pre-rendering to create temporary snippets of output video that Vegas can use instead of ploughing through all the processing during preview.
Vegas has a dynamic preview cache that it stores complete preview frames in, ready for the next time you preview that bit of the project. If you preview the same section again and again, the preview will become smoother. You can also force Vegas to pre-render short sections (especially transitions) by making a time selection and pressing Shift+B. See the Vegas help on “previewing your project” for more details.