Photoshop CS6 fixed one of my long-standing complaints with its vector tools — their refusal to snap to whole pixels. There's now a checkbox to do just that. For those of us who are still rolling with CS 5.1 or older, there's a simple hack to making this work, so your vector shapes stay crisp and wonderful.
In Photoshop preferences, select "Guides, Grid, and Slices" on the left. In the Grid section, set it up to create a gridline every 10 pixels, and to have 10 subdivisions.
As long as snapping is turned on, you should be able to draw shapes to a pixel-perfect grid.