I know you are probably asking only about the mythological Valhalla and have already been answered by Vlorsutes, but here's a little F.Y.I. - There is in fact a Valhalla in this world: Valhalla, New York! This is a little town founded in the 19th century. It was supposedly named by the postmaster's wife who was a fan of Wagner, who in turn was obsessed with the Norse legends.
Valhalla, New York is a bit like the mythological one in that so many famous people, some of whom can be considered gods of art, have chosen to be buried there (Rachmaninoff, Anne Bancroft, Ayn Rand, Lou Gehrig...)