How to make a "French Vanilla cappuccino" with a espresso machine
If your espresso machine has a milk steamer then you have several options; you can make a vanilla simple syrup with vanilla pod scrapes added and add that directly to your espresso, you can make a vanilla sugar which will be much milder, you can scrape some vanilla in with your milk as you steam it which produces a wonderful smell, you can add organic vanilla extract to your milk or simple sugar although I like the pods better. You could just buy the French Vanilla flavor they sell but it always seems sweeter than what you get in the coffee house by the cup.

Adding vanilla extract to the cup will not bring out the aromatics you need to add it to the steamed milk.

Why buy vanilla syrup when you can make your own? Especially when you can control the instensity of the vanilla. 

Vanilla ground coffee beans are great as long as you don't sweeten your coffee. IMHO flavored coffee beans are only worth it if you take your coffee unadulterated. 

If you don't have a milk steamer go buy one because you cannot make decent cappuccino without it, but most espresso machines have one so I am going to assume you already have it.