I started that, and in my point of view, Valhalla is the land of the dead or something related (maybe it's just a "hall of the dead"), it can either be a glorious place or not.
In Valhalla has: angels, gladiators, knights, wizards...
Surely Valhalla have other meaning more "concrete".
I saw this name in the stage "Valhalla" in the game called Valis 4 - Snes XD