This strange character is the byte-order-mark ( http://en.wikipedia.org/wiki/Byte_order_mark ). The exact byte sequence you see indicates the file is in utf-8. Vim probably did not detect the file as utf-8.
Check that:
1. your Vim is compiled with multibyte support
2. your 'encoding' option is set AT THE VERY BEGINNING OF YOUR .VIMRC to utf-8
3. your 'fileencodings' option contains ucs-bom or utf-8 or both, before any 8-bit encodings.
If these are all the case your Vim should automatically detect the utf-8 fileencoding and the presence of a BOM, and set 'fenc' and 'bomb' appropriately.
See the http://vim.wikia.com/wiki/Working_with_Unicode linked by Tony.
feff is the BOM character for UTF-8 as well, where it does not have any meaning in terms of byte ordering, but can be used to identify a file as UTF-8.
In UTF-8, the feff character is represented as efbbbf (three bytes) due to the way UTF-8 encodes multi-byte values in varying length.
The interesting thing about UTF-8 is that often even if an editor misidentifies a UTF-8 file as Latin1, or as windows-1252, for example, most of the file will remain readable, because UTF-8 has the same byte representation for many characters as Latin1 does.