The Valarindi (The Children of the Valar)
In the earlier stages of Tolkien's writings, the Valar were less angelic and more like pagan (especially Greco-Roman) deities. One of the most notable features at this point was that some of the married couples among the Valar had children. The term for these beings was Valarindi, and it was used to refer to any child (or in a couple of cases, grandchild) of one of the Valar. This group of beings included:
Nessa, the Dancer, The Swift
Nessa was the daughter of Aulë and Yavanna, the sister of Oromë, and was associated with dancing, deer, and speed. Her wedding to the Vala Tulkas was the first and only marriage between two Valar to take place within Arda itself. The fact that she is strongly associated with deer and nature and that her brother is connected to hunting makes her vaguely reminiscent of the Greek goddess Artemis. Meanwhile, her connections to love, dancing, and beauty and her marriage to the warrior Vala Tulkas are comparable to Greek Aphrodite and Roman Venus. Nessa and Tulkas had a son named Telimektar in the earliest stages.
Oromë, The Huntsman of the Valar
Oromë was the son of Aulë and Yavanna, the brother of Nessa, and the Lord of the Forests and the Huntsman of the Valar. After the Valar retreated to the continent of Aman, Oromë would still occassionally return to Middle-earth to hunt the creatures of Melkor, and it was during one of these trips that he came upon the first elves. He was also strongly associated with horses and was especially loved by the people of Rohan, who believed that their horses were descended from ones he brought from the West. Oromë is like a mix of the Greek god Apollo with the many horse and forest gods of the different Celtic tribes, who the Romans often adopted as aspects of Apollo. Oromë was married to Vána, who was technically his aunt, and they had a daughter named Nieliqui; this relationship is very reminiscent of those of many Greek gods and goddesses.
Fionwë-Urion was the son of Manwë and Varda, the brother of Erinti, and a warrior associated with light and fire. His connection to fire can be seen in his love for Arien, who at this point was called Urwen/Urwendi, with the names Urwen and Urion both coming from a rootword meaning fire or flame. At one point Tolkien developed a story where Melkor tried to claim Arien/Urwen as a wife, attacking her while she was guiding the Sun through the sky. She released herself from her body in an explosion of fire and "died", permanently scarring Melkor and causing the Sun to go out of control and burn parts of Arda, creating the deserts. It was said that Fionwë-Urion would kill Melkor/Morgoth in the last battle at the end of days due to his love for Arien/Urwen. This story was eventually dropped before The Silmarilion was published; Melkor fears Arien too much to attack her, while the Ainu who is in love with Arien is Tilion, the guide of the Moon. Fionwë-Urion eventually evolved into the Maia Eonwë, in the process also absorbing the character Nornorë, the Herald of the Valar, who became one of the "Lost Valar".
Erinti was the daughter of Manwë and Varda and the sister of Fionwë-Urion. At one point, she was written as the sister of Salmar/Noldorin and Ómar/Amillo instead of being the sister of Fionwë-Urion, though their parents aren't specified. At that stage, the three siblings were the only Ainur who left Aman to live with the elves of Tol Eressea. Erinti is associated with love, beauty, and music, which is fitting since Ómar and Salmar are both associated with music as well. She was eventually rewritten as Manwë and Varda's daughter, but despite this important parentage not much was said about her. Though the concept of the Valarindi was eventually dropped and the Valar became more like angels, Erinti survived as Ilmarë, the handmaiden of Varda. Together with Eonwë, who was once her brother Fionwë-Urion, she was a chief of the Maiar.
Nieliqui, The Little Maiden of the Valar
Nieliqui was the daughter of Oromë and Vána, and references to her as "the little maiden" suggest she may have been the youngest and most childlike of the Valar. Not much is said about Nieliqui besides the fact that she was a small maiden who liked to dance in her father’s woods. This often took place while Ómar-Amillo (a Lost Vala), who was the Vala of song and music, would sing in the woods. Both of Nieliqui’s parents had strong connections to nature, especially trees, and some fans have imagined her as a dryad-like character. Her love of dancing suggests that, she also takes after her aunt Nessa, the Vala of dancing. Nieliqui disappeared from Tolkien's writings once he abandoned the concept of the Valarindi and created the Maiar, and she doesn't appear in The Silmarilion.
Telimektar, The Warrior of the Sky
Telimektar was the son of Tulkas and Nessa, and a mighty warrior who fought hard in the struggles against Melkor/Morgoth. He is described as having a long sword kept at his waist by a silver girdle. His face and weapons are also described as heaving a silver gleam. In early writings, the constellation Orion (which contains many stars classified as blue giants) is Telimektar, with the star Nielluin/Helluin (Sirius) being described as his toe. He is in the sky as a guard against Morgoth, and he was given stars by Varda to mark his shape so the Valar would know he was there. He is also said to have diamonds on his sword’s sheath that will glow red when the last battle occurs at the end of the world. Telimektar was eventually dropped, but one of the many variations of his name, Telumehtar, appears as a name for the constellation Orion in the appendices of Lord of the Rings, and as the name of the 28th King of Gondor.
Once Tolkien dropped the concept of the Valarindi and created the angelic Maiar instead, the fates of these characters changed. Oromë and Nessa became Valar in their own right, Fionwë-Urion and Erinti morphed into Maiar, and Nieliqui and Telimektar were dropped. Even Melkor once was envisioned to have a son named Kalimbo/Kosomot with an ogress named Fluithuin or Ulbandi, but this character changed into Gothmog, Lord of the Balrogs.