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?