VYGER did! Haven't you seen the first Star Trek Movie?

Their time traveling is the actual reason why we have to repeat the same missions as well. They keep bringing these assholes back.

The Vex traveled back in time and created the Vex. /paradox

Intergalactic proton-powered electrical tentacled advertising Droids

Paying attention to the look of the Vex Crit spot I would say the Traveler. It looks like each has a small shard of the Traveler powering them which is also why they all share one mind, thats just my opinion tho.

I put my money on the Gorgons. They can decide what is real and not, then banish something out if time. So it could also mean that they could have decided the existence of all the vex and made them exist. And since their power is limited to what lingers in the VoG. I'd say they created their own existence from the power in the Vault.

There's a lot of place for speculation on the Vex, we can spend lots of time discussing it. But if I abstract from all the big and great theories, there's one little detail about the Vex which keeps me interested in: Precursor Vex look way more advanced than the Descendant Vex. They are more whitish-goldish, like they were created during some age of prosperity.. You know, right. Or it's just some crazy designer's decision with no meaning.

According to the current stuff that BUNGIE let us see, no really knows because whatever made them was either killed or wiped out. But the vex doesn't like things that aren't vex because the vex are their own god because they can control their own creation. So one theory is that there are a million million written throughout time, because of special vex like atheon ( yes this means that atheon isn't much more than a special soldier that the vex have mass created ) that have some control over time and use their power to not just write the vex into time but make it so the vex are part of existence itself. Also when the guardians take the fight to atheon it is the weakest he has ever been and the weakest he will ever be because he had to use massive amounts of his power for all the time gates he opens and that's why he doesn't just rewrite history and kill us before we even existed ( which might be what happened to the original owners of the vault armor ). Anyways to answer your question no one knows who made the vex because they control time so currently the vex have control over their own existence and we are just getting their weak troops ( they probably are having a war in some other time and place where they actually send in their strong stuff like full armies of guys like atheon ). And throughout their existence throughout time they have probably found a lot of mysteries but the only one we know for sure that they have found that they didn't know what to do with was the tiny mass of space and time itself that they were worshiping on Mars which we have to assume isn't even kind of their leader nor anywhere close of being it because if you think about it the vex are smart enough to control time and warp across space, so they can't be stupid enough to just have their leader hangin out without a few atheons or much much more powerful vex guarding him/her/it.

Who knows? Maybe we'll know once Destiny comes out. [spoiler]OH WAIT.[/spoiler]

The Reapers.