Vex means to annoy, disturb or torment. Usually the distress is a mental one, but vex can also mean to cause physical pain.
What appeared to vex Mr. Cheney the most were Mr. Emanuel’s remarks, which the former vice president cast as an attempt to shift the blame for inaction onto the Bush administration. (NY Times)
Few topics vex Americans more than the high price of many life-saving drugs. In contrast Britons worry about whether they can get them at all. (The Economist)