The art of vexeling and vectoring are interesting as each layer created goes toward the whole look of an image. It takes careful attention to the layering, and certain techniques to make an image that draws awe from others. I have gone through DeviantArt carefully and found several amazing tutorials for those who have never vexeled, or those who would like to brush up on their techniques. Some of these are Photoshop tutorials and others are for Illustrator. However, from experience, you can use the tutorials toward either program, or even the concepts to other graphic editors.
Please note that this form of art takes time and patience. I have been known to work on a vexel for over 7 hours, just to give an example.

Vexel Eye Walkthrough-Tutorial by binjoo

VectorTutorial for Illustrator by ChewedKandi

Urban Propaganda How-To by domnx

Real Photoshop Vector Tutorial by donbenni

Basic Vexel Tutorial by photoshop-tutorials

Silhouette Vexel Tutorial by shesta713

Vexel Tutorial – Hair by VAngelLJ
Do any of these tutorials look interesting enough to try?
New blog post: 7 Amazing DeviantArt Vexel Tuts http://bit.ly/BJPdR