The dynamics of vesicles under a shear flow are analyzed analytically in the small deformation regime. We derive two coupled nonlinear equations which describe the vesicle orientation in the flow and its shape evolution. A new type of motion is found, namely, a "vacillating-breathing" mode: the vesicle orientation undergoes an oscillation around the flow direction, while the shape executes breathing dynamics. This solution coexists with tumbling. Moreover, we provide an explicit expression for the tumbling threshold. A rheological law for a dilute vesicle suspension is outlined.