Here we investigate meaningful families of vector bundles on a very general polarized K3 surface (X, H) and on the corresponding Hyper-Kähler variety given by the Hilbert scheme of points X [k] := Hilb k (X), for any integer k 2. In particular, we prove results concerning bigness and stability of such bundles. First, we give conditions on integers n such that the twist of the tangent bundle of X by the line bundle nH turns out to be big and stable on X; we then prove a similar result for a natural twist of the tangent bundle of X [k] . Next, by a careful analysis on Segre classes, we prove bigness and stability results for tautological bundles on X [k] arising either from line bundles or from Mukai-Lazarsfeld bundles, as well as from Ulrich bundles on X.