One of the most famous events in the lore is the death of Baldr. Baldr is killed by Hoth (Hodr). Vali is birthed to avenge Baldr by killing Hodr.

As a the aspect of vengeance it seemed right to me that Vali would be masked. The horns of his helm are twisted because vengeance is always a twisted act, no matter how just. His oath is to not wash his hands or cut his hair until the target of his vengeance is dead, I know this was a common oath of vengeance, and yet is seems so fitting that the act of vengeance is unclean.

Voluspa - Norse Mythology Book - Verse 33-34

 From the branch which seemed |  so slender and fair

Came a harmful shaft |  that Hoth should hurl;

But the brother of Baldr |  was born ere long,

And one night old |  fought Othin’s son.

 His hands he washed not, |  his hair he combed not,

Till he bore to the bale-blaze |  Baldr’s foe.

But in Fensalir |  did Frigg weep sore

For Valhall’s need: |  would you know yet more?

Bellows Translation