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Valhalla is the hall of Odin. It is a paradise where honorable warriors and those who die a heroic death go when they die. The warriors there are einherjars. The Lava Monster challenged Jack into an honorable duel so that he can pass on to this place and meet his fellow comrades there. After Jack freed him from Aku's curse, a pair of Valkyries descended from the heaven and brought him to Valhalla.

Since Jack has destroyed Aku in the past, this caused the heroes that perished fighting Aku and the Warrior never pass on to this place. So, they were brought back to life on Earth, losing their status as Odin's einherjars. However, they may still pass on to Valhalla under different circumstance.
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Far right is Odin in his blue form and Thor and Warrior


The gods (from right to left) are Odin, Thor, Heimdallr, Loki and Sif.