Vexing describes something that annoys and worries you at the same time — a problem you keep turning over without solving, a question that will not go anywhere, a situation that nags. A vexing problem, a vexing question, a vexing delay, 'most vexing'. Two things to see. First, the mix of feelings: vexing is not simply irritating. Something vexing troubles your mind as well as your mood; it is the kind of difficulty that follows you home. That is why it goes so naturally with problem and question. Second, its grammar: vexing is both the -ing form of the verb vex ('the noise was vexing him all afternoon') and a full describing word ('a vexing delay'), and the describing use is far more common in modern English. As a describing word it goes in front of a noun most of the time. Compared with the rest of this family, vexing is the one that is still comfortably alive. Vex on its own sounds bookish and vexatious sounds legal, but 'a vexing problem' turns up quite normally in newspapers, in business writing, and in careful speech, and no native speaker would blink at it. It stays a step more formal than 'annoying', though — you would say a mosquito is annoying, not vexing, because a mosquito bothers you without giving you anything to think about.