Valhalla is a castle where the Norse Gods live, and where dead heroes go when they die. In mythology, Valhalla is just the main hall of Asgard where the Norse gods lived, but Valhalla was the only part shown in the Xenaverse.
The castle is carved out of the top of a tall mountain (smaller than Mount Olympus) that's above the clouds. Usually you can only get there by teleporting, flying, or going over the rainbow bridge that wasn't shown but Xena climbed the mountain once to get the Golden Apples that were kept in Valhalla and protected by Odin.
The only god shown in Valhalla during XWP was Odin, but the Valkyrie, warriors and some pets were also shown there. Xena used to live there too when she was a Valkyrie. The inside of Valhalla shown mainly just looks like a big hall with a table full of food, that people are usually eating at, but other halls were also shown there.
There were more gods and places of Asgard shown in HLJ than there was in Xena.