If anyone's working as hard on the Windows Phone platform as Microsoft, its Nokia. The Finnish company, now soon to be a part of Microsoft has just launched an update to the Touch options in the Settings menu whereby you can now disable haptic feedback or vibration on touching the capacitive buttons. There you also have the option to double tap your Lumia's screen to wake up the phone.
The new Touch system app version 2.2.0.1 should be soon available as an update from the Windows Phone Store. You can just toggle the option to off and then restart your phone. The haptic feedback on touching the Back, Windows Start and Search key will not be there after the reboot.
If the update is not yet available just hit the Windows Phone Store link to check manually. Although a minor update it was something we missed when we were reviewing the Nokia Lumia 525 which you can see below.