Obama.

Skynet got piss-assed drunk one night & had a crazy 3-way with a Cylon & a Dinobot named Slag. Cut to 9 months later.... Seriously though, my theory is this: Just before the Golden Age, when the Traveler was visiting locations throughout the solar system, it was leaving portions of itself at these locations in order to pave the way for Humanity. These fragments altered the geology of their respective worlds, making it possible for Humanity to live there. Wherever they found these fragments, Humanity built entire civilizations around them. On Mars, they built a thriving city around the vault that housed the Warmind Charlemagne. On Venus, they built the Academy: a cutting-edge research facility populated by their finest scientists, all devoted to studying the fragment left there by the Traveler, hoping to unlock its secrets. Alas, they never got the chance. The Darkness swept through the solar system, wiping out Humanity wherever they found it, scouring each world clean of its presence, all the way back to Earth, where those few battered survivors huddled under the Traveler's protective aura. Over the next several centuries, the cybernetic workers and assistants at the Academy, who originally aided the Human scientists in their many experiments, continued with their assigned tasks while, at the same time, continuing to probe the Traveler's fragment for its secrets. Over time, the facility's central mainframe became inextricably linked with it and developed self-awareness and, unfortunately, madness; even the most advanced computers available to Humanity were not capable of harnessing all that the Traveler had to offer. Using the knowledge it had acquired from the scientists' original experiments (Power generation, mass production, gravity manipulation, wormhole manipulation, time manipulation, etc), and bolstered by the arcane and alien knowledge provided by the Traveler, they created portals that allowed them to pass through not only space, but also time, allowing them to continue to develop in both the distant past and future, far from the interference of other races. Eventually, it sensed that point on the timeline when its creators were reemerging into the solar system, knowing that they would eventually come to Venus to reclaim the missing piece of the Traveler that had lain forgotten all those centuries ago. By this time, they had built an enormous Citadel over its resting place, fashioning a formidable army from the remnants of the robotic assistants that had once populated the facility, maintaining their number using any and all materials at hand, including those harvested from the fallen bodies of interlopers. For it had plans of it's own to gather those missing pieces and merge with them, starting with the ancient Warmind buried under the sands of Mars. I believe that part of the player's campaign will revolve around separating the Traveler's fragment from the mainframe within the bowels of the Citadel, restoring sanity to the Vex in the process. In doing so, Humanity would gain them as allies, just as I predict they will do with the Fallen as well as the Cabal. Humanity's Legend will be in how they united their former enemies and ushered in a new Golden Age.

Vex are the future versions of Exo, they have unlocked the memories humans tried to hide and now they are coming back for revenge.

Chuck Norris tinkered with a bunch of roombas in his garage

They were built by the Traveler to come and fight the Darkness when the time was right. They cannot be affected because of limited organic material. Conversely, they could be humans from a parallel universe, that the Traveler cracked a seam to. They want what we have. Regardless, they are here to combat the Darkness at it's weakest point. Maybe the Darkness attacked their home world or civilization, effectively wiping it out. They became machines to survive/travel through time. I think that all the races are in our Solar System because the Traveler was once in their systems, protecting them, and the Darkness pushed them out. They are here to survive and be protected by the Traveler. They see us as the enemy because we have darkness in us. Perhaps?

Thinking about how they are time traveling robots, I think that we built them as it seem they are related to the exos, but that's just my guess.

Bungie said they have souls, I think they use to not be robots, and built bodies for themselves. Then they come to our time to stop something from happening.

Iron Man

I think the better question is: Who changed them? They are partly organic, so where did that come from?

Well the cabal and the vex are at war, maybe some clues there?[spoiler]the cabal built the vex then the vex went rouge[/spoiler]