OpenAI generates embeddings ($0.02/1M tokens), Pinecone offers managed vector storage ($50+/month), and Weaviate provides open-source flexibility with hybrid search ($25+/month). Choose Pinecone for zero-ops simplicity, Weaviate for GraphQL APIs and on-premise deployment. Both handle billion-scale vectors with sub-100ms latency. Common pitfalls: poor chunking strategy, mixing embedding models, and ignoring rate limits during initial indexing.