Sleipnir is Odin's eight-legged horse. He was born out of one of Loki's antics.
Once, when Thor was away, a Frost Giant came to Asgard disguised as a stonemason. He offered to rebuild the wall around Asgard in six months in return for the Moon, the Sun and the fair Freya. The gods thought that sounded pretty good, since he probably wouldn't be able to do it alone and at least part of the wall would be rebuilt.
But the giant added another condition: he would be allowed to use his horse Svadilfari. Loki agreed immediately, before any of the gods could confer.
The giant began building the wall and was well on his way to completing the task. The gods were furious with Loki. If they lost the Moon, the Sun and Freya, he was going to be in big trouble.
As the wall was just about to be completed, Loki transformed himself into a beautiful white mare and lured Svadilfari away. Furious, the giant began tearing down the wall. Just then, Thor arrived and smashed the giant's head in with his hammer.
Later, Loki gave birth to Sleipnir, whom he had conceived with the gray horse, Svadilfari.