| This is still an active area of research, but here is what is known in the text-books so far:
COPII proteins associate with ER to cis-Golgi vesicles; this is so-called "anterograde transport".
COPI proteins associate with cis-Golgi to ER vesicles, and vesicles moving from later to earlier Golgi cisternae; this is so-called "retrograde transport".
Clathrin proteins associate with trans-Golgi to endosome vesicles and Gogli to lysosome vesicles. These proteins also associate with endocytic vesicles that go from the plasma membrane to endosomes; this is part of the process of "endocytosis".
So far it seems that secretory vesicles (those associated with "exocytosis") have not yet been characterized.
To answer your other questions:
Where vesicles are transported is thought to be a consequence of matching specific vesicle-SNARE and target-SNARE proteins that match up with each other on vesicle and membrane surfaces to promote docking and membrane fusion. The constellation of "v-SNAREs" and "t-SNAREs" expressed on a vesicle or membrane, respectively, determine where the vesicles are allowed to go. At least, this is the current hypothesis.
How vesicles are transported is also currently being investigated, but it has been shown that certain microtubule motor proteins are able to bind vesicle coat proteins. It is thought that the microtubles in the cytoskeleton serve as tracks along which motor proteins travel, carrying along vesicles to their proper destinations.
Keep in mind though that a lot of this is still just speculation, and the exact mechanisms behind all these phenomena haven't been entirely worked out yet.  | 
03-13-2008, 06:21 PM
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