Valhalla

"It's not the ideal outcome, but if worse comes to worse, there's no one I'd rather pass though the gates of Valhalla with than you."

- Dagur the Deranged to Shattermaster in Shell Shocked, Part 2

Valhalla is the Norse location where worthy Vikings are believed to go when they die. It is mentioned numerous times in the franchise, commonly alongside a mention of dying.

History
Valhalla (“val-HALL-uh”), or Old Norse Valhöll, meaning “the hall of the fallen", is where Odin houses the dead Vikings whom he sees worthy of living with him.

According to an Old Norse poem, the belief may have been that Valhalla was a fortress, with a roof made of shields, rafters made of spears, and seats made of warrior's breastplates. The seats surround giant tables for feasting. Valhalla's gates are guarded by wolves.

The dead in Valhalla live a life that would have been the envy of any Viking warrior. They fight one another for fun, and do countless deeds that show their heroism. But all their wounds are healed, and their health is restored by the next day. Their meat comes from the boar Saehrimnir, who comes back to life every time he is slaughtered. They drink milk that comes from the goat Heidrun. And they are waited on by the beautiful Valkyries.

But this fantastic existence by Odin's side isn't intended to last forever. Odin collects souls for the purpose of having them come to his aid in his fated war against the wolf Fenrir during Ragnarok. According to other Norse beliefs, it's a battle during which Odin and his warriors are doomed to be destroyed.

Gaining Entrance to Valhalla
Entrance into Valhalla seems to have ultimately been a matter of who Odin and his Valkyries chose to live with them. Rather than any specifics, it was a reasonable belief that Odin would select those who would serve him best in his final battle. The ranks of Valhalla would naturally be filled with elite warriors, especially heroes and rulers. And certainly, when Old Norse sources mention particular people in Valhalla, they almost always fit that description.

There are records of conflicting beliefs, however. Another is that only those who die in battle are taken to Valhalla, while those who die of sickness or old age find themselves in Niflheim.

It's most commonly believed that Valhalla was located in Asgard, which was the gods' celestial fortress. However other sources suggest it was underground, hense part of the "underworld" along with the other halls of the dead.