Well, things like the pen tool, the magic wand, etc use vector input, it's just manipulated to fall within the squares for pixels. When you start getting into clipping paths and work paths, etc; you get into being able to open and save PDF and EPS with an that vector info still in it. My favorite shortcut is using the pen tool to trace and then exporting different paths to Illustrator. Way faster than tracing something with a mouse.
Here's an example of how to use the vector tools in Photoshop:
http://www.deviantart.com/deviation/38583465/
^ Any of those paths created can be exported out to Illustrator. Yes, your final image is still pixels, but the info underneath is vector.