Vex is, without a doubt, a box full of surprises -- as much for her original design as the variety she brings to League of Legends matches thanks to her skillset.
Her Shadow Surge ultimate is particularly striking, considering the nature of the yordle:
Shadow flies forward, marking and dealing magic damage to the first enemy champion hit. Vex can then recast this ability to have Shadow pull her to the marked target, dealing additional magic damage. If the marked target dies within a short time of taking damage from Shadow Surge, Vex can cast Shadow Surge again within a few seconds.
Most of Vex's abilities put her at some distance from her rivals, which is natural for a mage. For a burst mage, approaching a rival or group of champions isn't usually the best idea, but in the case of Vex, her ult actually performs the opposite function.
Bryan "CatchesAxes" Salvatore, Riot's Lead Champion Designer, explained the reason behind the design of Vex's ult (via Spideraxe). In the first instance, having an ultimate that brings the character closer to an enemy doesn't pose a risk to Vex, since its gimmick is to be anti-mobility.
Considering how the rest of her skills work, it proves to be more of a benefit if played correctly.
The second reason has more to do more with the theme of the character. Axes argues that Shadow is the part of Vex that cares about other things, something the owner would never be willing to admit.
He adds that Vex's ultimate is something akin to a "Lee Sin super Q" -- once it connects, there is a psychological pressure to activate the spell again. In that sense, when activating Vex's ultimate, Shadow feels that adrenaline rush and forces its owner to follow her.
Finally, it is a fun skill to use. The goal is for Vex's ult to be a part of big moments, such as Baron or dragon steals, rather than something that defines her entire skill set. It has a very long cooldown, so it doesn't take "power" from the rest of her spells. Axes says that the Vex ult is for when there are "important moments" to be had.
The learning curve for using Vex's ult may be steep, but once mastered, will provide some spectacular moments. Players will be able to get their hands on her in Patch 11.19.