Bundles with a purely algebraic definition make sense on projective spaces over any basis. For example, over PnFq, we still have the line bundles O(k), for k integers (in fact, they are the only line bundles), we have the tangent bundle T, the cotangent bundle Ω... All classical facts about these objects (like space of sections, cohomology...) that you might know over the complex numbers remain true if you replace everywhere complex numbers by a finite field.
The key difference between the complex and finite field cases will come from the more complicated vector bundles. A typical way to construct complicated vector bundles is as extension of simpler ones and the possible ways to do that are controlled by spaces of cohomological nature called Ext^1. Over complex numbers, these spaces are finite dimensional complex vector spaces, in particular with a continuous infinite number of points if non-zero, which is why there are continuous families of vector bundles and so non-trivial moduli spaces over complex numbers. Over a finite field, these Ext^1 are finite dimensional vector spaces over the finite field and in particular they have only finitely many elements, corresponding to finitely vector bundles! Computing these Ext^1 spaces is usually the way to construct interesting vector bundles and to try to count them in the finite field case.