Pololu has a Gyro that works with 5V systems like VEX. I purchased one last week and have been testing it over the weekend. It works great.
In order to make it work on VEX you will need to do some soldering and you will have to make a custom cable. So it is NOT plug compatible. I also had to build a casing for it since the size of the mounting holes are far too small to attach it to a VEX robot.
Another thing to be aware of is that the actual gyro chip is 3.3V, which means you will not get the full output unless you also add an op-amp to scale the output back up to 5V. I tried that with a LM358 and it worked just fine.
However, it works well enough even without an external op-amp. I’m using the WPILibVEX gyro commands to get the sensor’s data and the Drive(speed,direction) command to drive a robot in a straight line. It goes about a good 3 1/2 meters perfectly straight before it starts to drift.
The price is very reasonable, $28.95. Great toy, but I’ll probably still buy the VEX gyro when they release it.
Here is the link if you’d like to read more about it: http://www.pololu.com/catalog/product/765