EXPANDED UNIVERSE
Some love it, some hate it.  The bottom line is Star Wars EU is here to stay.  While Darth Vader has not visited the EU as many times as say Boba Fett, he has left his mark in the XXL galaxy far, far away.  Here, I will do my best to provide information on Vader's appearances in books, comics, and video games.
BOOKS
SPLINTER OF THE MIND'S EYE: Darth Vader entered the EU at the same time the EU entered.  The first spin-off Star Wars story involves Luke and Leia finding themselves on the swamp planet of Mimban, and with the help of an old woman begin searching for an ancient crystal that would give unstoppable powers to whoever uses it. Guess who else wants it?

SHADOWS OF THE EMPIRE: Few will argue that this was Darth Vader's strongest appearance in the expanded universe.  Set between The Empire Strikes Back and Return of the Jedi, this story builds a bridge between the two films.  Vader is still after Luke, but a new villain emerges who wants to take the Dark Lord's place.  Prince Xizor.  Xizor and Vader begin a rivalry to be the emperor's right hand man.  Vader also gets back into his TIE Advanced fighter in this novel.
MORE TO COME!
Images Sounds Behind the Scenes The Story References Expanded Universe Episode III Cast Links