The only player I could find that plays them on my computer is media player classic. I use Vegas too and they won't load in my version either, but I did find a work around suggested by Ben. I downloaded Miro, which is free, then I render the movies using the Huffy (Lossless) setting, which does render a pretty big file (around 796 MB for a minute and a half) then I use Miro to turn the file into an MP4. There is very little loss of quality and the MP4s load into Vegas with sound and picture. I know it's not perfect, but it's the best work around I've found so far.
If you have a recent version of ffmpeg, you should have the vorbis codec support required for WebM. WebM is a container format (based on Matroska, according to the web site) and codec specification for video and audio (based on Vorbis, which itself is not new).
These two web sites have downloads that hopefully help in getting windows and mac systems better initial support until commercial products get around to adding it themselves:http://www.webmproject.org/
(for the VP8 video codec -- for windows, check out the direct show downloads)http://www.xiph.org/
(for the Ogg Vorbis audio codec -- not sure what windows users need to do here actually)
For Mac users, installing the quicktime components from these sites seems to be sufficient for decoding, and also seems to add a WebM "share" option for iMovie (but not for Final Cut or Compressor).