We introduce vector optimization problems with stochastic bandit feedback, in which preferences among designs are encoded by a polyhedral ordering cone $C$. Our setup generalizes the best arm identification problem to vector-valued rewards by extending the concept of Pareto set beyond multi-objective optimization. We characterize the sample complexity of ($ε,δ$)-PAC Pareto set identification by defining a new cone-dependent notion of complexity, called the ordering complexity. In particular, we provide gap-dependent and worst-case lower bounds on the sample complexity and show that, in the worst-case, the sample complexity scales with the square of ordering complexity. Furthermore, we investigate the sample complexity of the naïve elimination algorithm and prove that it nearly matches the worst-case sample complexity. Finally, we run experiments to verify our theoretical results and illustrate how $C$ and sampling budget affect the Pareto set, the returned ($ε,δ$)-PAC Pareto set, and the success of identification.