Let me tell you about Valhalla...
Valhalla (pronounced “val-HALL-uh”; and in Old Norse “Valholl” means the hall of the fallen where the God Odin houses the dead whom he deems worthy of dwelling with him.
There is an old Norse poem called “Grimnismal” which means “The Song of the Hooded One”, it describes Valhalla as being made of warrior's shields, and has spears for the rafters to keep them up. Seats were made of breastplates surround the several feasting tables of this huge hall. The gates are guarded by wolves as well as eagles that continuously fly above it.
The dead souls that reside in Valhalla called “einherjar” could easily have been the envy of any Viking warriors. All day long they battle showing their prowess in their skills. As the battles end for the day all of their wounds will have been healed and they are in perfect health once again. Of course, with all that physical work they sure had huge appetites, and those are sated with meat from boar (Saehrimnir) who, once again just like the warriors comes back to full life to go through this cycle every night. Vikings are great drinkers and they love their mead, which comes from the udder of the goat Heidrun. The servers are of course the lovely Valkyries.
These warrior souls will not continue in the luxury endlessly as they are there only by Odin's will. He collects them, who then aid Odin in the struggle against the wolf Fenrir during Ragnarok. Ragnarock being the great battle where Odin and his fellow warriors will surely die.
According to the Grimnismal, mentioned above, the most famous description of Valhalla describes it as being located in Asgard which is the Gods celestial fortress. There is another view of it being located underground, like the “Underworld” we hear so much about.
Those warriors who died at sea, as the Viking people were sea faring souls, some would go with Freya to her great hall Folkvang (Old Norse Folkvangrt “the field of the people” or “the field of the warriors”) like Odin's and others were taken to the underwater abode of Ran. Aegir (pronounced “EYE-geer) and Ran (pronounced “RAN”) are husband and wife. Aegir is many times portrayed as a very gracious host where Ran is deemed rather sinister and she is usually described as purposely drowning unfortunate seafarers and dragging them down to dwell in her underwater abode. There is not much documentation regarding Folkvang, Freya’s hall, so we don't have any idea what it was like.
There are some wonderful books on Norse mythology, I encourage you to read about them.
Note: The Poetic Edda was collected by an unidentified Icelander, probably during the twelfth or thirteenth century. The Poetic Edda was rediscovered in Iceland in the seventeenth century by Danish scholars. Even then its value a poetry, as a source of historical information, and as a collection of entertaining stories was recognized.
Sources: Davidson, Hilda Roderick Ellis. 1993. “The Lost Beliefs of Northern Europe”
Ellis, Hilda Roderick. 1968. “The Road to Hel: A Study of the Conception of the Dead i old Norse Literature”.
Sinek, Rudolf. 1993. “Dictionary of Northern Mythology”. Translated by Angela Hall
The Poetic Edda (ca. a.d. 1200)