Vigor is the third meter and "resource" your character uses. It is used by skills, spells, and movement. Sorcerers with Will Surge can use vigor to cast spells if they find themselves low on mana.
The lower your vigor, the slower your mana and your health regenerate. Once you are below 10 vigor, your movement speed slows to a walk.
Your maximum vigor is based on your Race. Some races have a higher base vigor than others. The Weaponcraft 4 skill Second Wind will raise your maximum vigor by up to 20, as well as Shard enchanted gear.