In the suttas vinnana, vedana and sanna are said to be conjoined, so I reckon vedana is our initial reaction to experience, at the contact stage. How it feels.
So for example the taste of ice-cream is experienced as pleasant, while the smell of dog poo is experienced as unpleasant. Neutral here would be no particular reaction either way.
Dependent Origination tells us that craving (tanha) arises in dependence upon feeling (vedana), so for example we might get attached to the pleasant taste of ice-cream, and eat too much of it.
You could say we have a preference for pleasant vedana, but vedana itself is quite instinctive.