I know that I seem to be echoing the name of Pessoa
lately, but the vignettes in "The Book of Disquiet"
( published by Exact Change, Boston, available on Amazon) are remarkable and worthy of study. Neruda wrote many vignettes as part of his "Residence on the Earth" series. Jorge Luis Borges is the best writer of vignettes I know. The recent translation of Alphonse Daudet's "The Book of Pain" by Julian Barnes is mordant, penetrating and painful, of course. Baudelaire's "Spleen of Paris" could be seen as vignettes in a bundle, or a bouquet ( slightly malodorous at times).
Virginia Woolf's diaries contain many marvelously written vignettes. James Joyce's "epiphanies", culled out by Stuart Gilbert and others, are acmes of the form. I personally adore Pascal, and his "Pensees" are as good as vignettes get. Full of wit and biting satire and reverent disobedience.
Annie Dillard's "Pilgrim at Tinker Creek" is stuffed with epigrammatic, vignetted epiphanies, even though Eudora Welty indicted it as narcissistic, and I don't take Eudora's comments lightly.
"Fires" by Raymond Carver is excellent. And there are always the letters of Marianne Moore, which are vignettes of her time and space, but, like everything else she wrote, full of great eternal implications. Also, "One Art", the letters of Elizabeth Bishop, is crammed with small peyote buttons of self-regarding and powerful auto-examination as vignette.
Speaking of peyote, Castaneda's "A Separate Reality" and "Journey to Ixtlan" provide a good source of anecdotal and magical vignette.
Other than that, outstanding travel writers like Bruce Chatwin and Paul Theroux and my friend Robin Magowan are surely worth the trip.