Sometimes specific vitamins or minerals, such as the type of iron some of these have included in them, are what is making you sick. Try a natural multi-vitamin without iron added to it. Then, get a separate natural iron supplement, such as a chelated iron, or Easy Iron or Gentle Iron. Easy Iron and Gentle Iron have just the RDA of iron and are what is recommended, unless your doctor has specifically told you to take added iron.
I have a better solution... get the liquid multi from Costco and take it with juice in the morning. I have had the same problems with pill form vitamins and the liquid is just dandy.
I don't know for certain what the reason is... I only have a guess. I actually found your question because I've been having the same kind of problem and I was searching to see what people on here had to say about it. I've done other online searches on the topic and the best guess I've heard is that it's due to the iron in the supplement (iron can be hard on the digestive system).
Taking a multivitamin only seems to make me feel nauseated (and sometimes vomit) if I didn't have enough in my stomach. It's happened a few times when I had an empty stomach, but recently even happened because I only had a grilled cheese sandwich. I've found that I don't have this problem if I eat a big meal before I take it - it's as if my stomach needs a lot of other things in it to act as a buffer for the multivitamin.
Perhaps if you try waiting to take your multivitamin until right after your biggest meal in the day, you won't have this problem. I hope this post has been of some help to you... even if only to reassure you that you're not the only one that experiences this problem. I wish you the best.