I hate them. Don't you hate them, too? They are just a waste of time, but more importantly, Energy. They don't pay out jack squat! And just to tease you, the other option - Graveyard - is awesome as all heck both when it comes to fun and Heat/Crowns reward!
EDIT: And those damn lizards that eat all THREE of your Health Capsules but only returns ONE when you kill them... Damn 'em all to hell.
I actually like vaults. They're kind of relaxing compared to most levels, and tier 3 graveyards are just painful if you're with a full group of randoms, usually.
What I DON'T like are the vaults full of energy gates.