Val'kyr are a type of undead vrykul, and seem to be a recent addition to the armies of the Scourge.
Cataclysm[]
After the death of the Lich King, many val'kyr became "unemployed", and have been conscripted into the Forsaken ranks. In order to bolster the Forsaken's numbers, Sylvanas Windrunner has put them to work in resurrecting their dead enemies into their service, as explained to Warchief Garrosh Hellscream during a meeting in Silverpine Forest.
Whispers of the Forgotten One[]
When many val'kyr became "unemployed", several joined the Horde under the command Sylvanas Windrunner. However, it was revealed that many were discovered by the Ghost pirates from Northsea Isle. The Val'kyr became friends to the pirates and protectors to the island.