You'll find a variety of vector icons at YAY, as both EPS and SVG vector files. EPS stands for Encapsulated PostScript and can be opened in Adobe Illustrator, Adobe Photoshop, as well as CorelDraw, GIMP and InkScape. All these programs can also save convert the EPS into JPEGs or your preferred format.
SVG stands for Scalable Vector Graphics and is the preferred vector file for web-applications. All major browsers support SVG. However, SVG is not supported in Photoshop. Though CorelDraw, Illustrator and Inkscape has native support.
In order to get vector icons you'll need to buy a large, original file. The price is only $13.