They can appear on any non-special and non-boss levels except the very first.
Each vault contains a shopkeeper and two Chests. The shopkeeper inside always spawns in an 'on guard' state, regardless of whether the Spelunker is wanted or not, but will not become aggressive unless the vault is broken into in any way, unless a pushable block makes up part of the vault's walls.
The vault is considered "shop blocks" to the game, which means is possible to sell an Idol in the Vault, just putting the Idol on the roof will work. In a similar manner, putting a bomb in the roof will also cause the Shopkeepers to become aggressive even before it explodes.
Rewards for breaking into a Vault
The two chests within each vault are both filled with approximately eight random large jewels each, together yielding a total of approximately $20,000 in the Mines.
Additionally, four large gold nuggets and a Shotgun can be looted from the Shopkeeper himself.
The value of the jewels in a vault can be multiplied several times by ghostrunning, usually producing 12-16 diamonds worth between $60,000 and $80,000.
Uncommonly a vault will be worth more than $80,000 when ghosted. Even values as high as $125,000 are possible from a single vault.
Occasionally one of the blocks of a vault wall will be a pushable block. If only this block is destroyed, the shopkeeper will not become aggressive, and the spelunker can enter the vault and remove the chests.
Naturally, this is only doable if the push block is not a corner block. This is still a dangerous idea, as breaking a single block without the mattock is difficult and thus should only be attempted if the player possesses the skill to break a single block with a bomb. There is also no penalty for pushing the block, so the player could enter the vault by pushing the block into the room at the cost of one chest.
Teleporting into a vault will not anger the shopkeeper.
Obviously, attempting to steal from a vault will label you a criminal, causing you to become 'wanted'. The implications of this are that all shopkeepers will attack on sight and will begin staking out level exits, and you will lose the ability to make legitimate purchases at a Shop.
They are only worth looting for score, as you will not be able to spend any money you acquire at a shop due to your wanted level, and looting a vault before visiting the Black Market will make acquiring the Ankh very difficult unless Forgiveness is achieved.
The twelve stone blocks that make up the vault are considered Shopkeeper property just like the blocks that make up a Shop. As a result, destroying any of them will have the Spelunker become wanted for vandalism, even if nothing is stolen and the Shopkeeper on guard is not harmed.Try to avoid letting a Boulder smash through a vault, just as you would a shop or one of Kali's Altars.