I just loaded up Oblivion, and saw this "Vanir" race when creating my character. Does anyone know what mod adds this race?

WAC?

Could also be Waalx's "Realswords: Goblins" module as well, if you are using Realswords that is. There is a "Vanir" (frost giant??) merchant at Cloud Ruler Temple that sells the Goblin armaments. He is a bloated, overgrown smurf like thing, which is what shows up in the race selection menu when you access it. He's not supposed to be a playable race, but I believe it just turned out that way when Waalx made this mod, if I can correctly remember the readme.

Might want to post your load order though, just in case.

Sealwarrior

Definitely it is in WAC

I got annoyed at how many (40 some) races were in there that were small alterations on the existing races (mostly for what look like facial hair) that I set them to disabled. Doing that though resulted in their having no dialogue when talked to. So then put back in the playable variants after character creation.