http://www.vexels.net/tutorials.php
best site for tips there ^
It's done using the pen tool and is a very long process but can give a great effect, however most of the 'vectors' you see on here are not, they are vexels, vector immitations that are the same look but can't be infinitely scaled, which is exactly what a vector is, an image that can be made bigger without losing any quality.
If you want to do Vectors seriously, I suggest you download Adobe Illustrator. It's a bit tough to start with and I'm still learning with it, but it's the best programme out there for making real vectors.