Do they reveal the location of vaults?
Recently I've had several peasants mention that there's trouble brewing with the neighbors due to their godlessness. A quick check revealed they were talking about the inhabitants of a vault. Didn't share it's location though.
They will reveal the name of the vault site, which you can ask directions for. Take into account, that it takes quite a lot of asking 'about surroundings' - I generally have about 30-50 useless hamlets, forests and hills mentioned before something interesting comes along. This is fine since vaults contain what can be considered a final boss of Adventure mode
. Of course, the further the vault is from the NPC's hometown, the less is the chance they will talk about it.