A vest for cycling is an indispensable piece of clothing. A cycling vest covers the upper body and thus the part where you most often get chilled. Many people start their cycling trip with a vest on, when you have warmed up, you take it off and put it in the back pocket of your jersey. It is also used a lot if you are down and driving in mountains. On the descents, it usually gets cold because of the speed and the fact that you don't step on the pedals. A wind vest is really important to keep you from getting cold.
You can get a wind vest that is rain and windproof, this usually makes good sense if you use it in spring or autumn.