Before there were 25 different flavors of vodka there were just a few, and orange vodka was one of the those few. It started with Citron and branched out into the logical flavors (orange being one of them). Then it went haywire resulting in whipped cream flavored vodka and other head scratching flavors.
But orange vodka has it's uses especially if it is a quality bottling that is just trying to give you a hint of orange along with the dry base spirit. Look for an 80 proof variety as this is a sign that the orange flavor is meant to accent full strength vodka as opposed to the orange taking over yielding something along the lines of a screwdriver.