I just received the Vega last week, and it is great to have my hands on a Sinclair product again. I was a little disappointed with some of the 1000 games it comes free with. Most I've never heard of, with the exception of a few old classics, Ultimate, Gremlin and the Skooldaze collections.
Most absent is JSW and MM, as I know Elite has the rights to these games, and are bringing out their rival Speccie this year.
I've since downloaded them both from the WOS site, and they work perfectly on the Vega. Unfortunately JSW 2 doesn't work as good. For whatever reason, the Kempston joystick default setting for the Vega doesn't seem to be recognised for JSW 2, which is annoying, so the control pad is useless.
A few of the Willy spin-off games struggle on the Vega too, although Join the Jet Set works fine (which I think is the best unofficial JSW game anyway).