The Valkyrie appears to be as old as war itself. The name "Valkyrie" is derived from the Old Norse valkyrja or valkyrjur which roughly translates to "chooser of the fallen". It was believed that these soaring battle-maidens would come to carry the chosen warriors who fell on the battlefield to serve Odin in the hall of Valhalla. There the fallen heroes would feast and fight every day training for the final battle of Ragnarok.
It is worth noting that only half of the warriors who fall in battle are chosen to enter Valhalla. The half who are not chosen by the Valkyrie go to Fólkvangr or "the field of warriors" where they are attended by Freyja until Ragnarok.
It is unknown where the Valkyries come from. There are, of course, many theories. One idea is that they might be women who had fallen in battle. The flaw with this theory being the creation of the first Valkyrie. Perhaps Odin chose the first Valkyrie, we simply do not know.
Other theories suggest that Freyja leads the Valkyrie and is herself a Valkyrie. Some scholars hypothesize that the Valkyrie are their own unique race.
By many accounts, they are depicted as beautiful battle maidens dressed in swan wings, and a shining with an inhuman radiance. While this is not an inaccurate portrayal their role has shifted somewhat in the modern perspective. The Valkyrie carry out a dark duty and thus originally were viewed akin to angels of death that soared over battlefields waiting for men to fall. This is why Valkyrie were some times depicted as carrion eating birds.
The Valkyrie have been known by many names and have inspired writers and poets throughout the years. They have been referred to as battle maidens, shield maidens, wish maidens, swan maidens, and mead maidens. From these titles it is safe to assume that the Valkyrie may have had multiple different roles.
Fallen warriors chosen by the Valkyrie were known as the Einherjar (Einheriar), and were chosen to fight beside the gods at Ragnarok. Valkyrie were sometimes called "Swan-maiden" because of the swan feather garments that allowed them to fly and carry fallen to Valhalla. Their other duties included serving mead or ales in drinking-horns or mugs to the Einherjar in Valhalla.
Three Valkyries appeared in the Volsunga Saga. Sigrun ("victory-rune") married the hero Helgi, the son of Sigmund. The other two Valkyries were Brynhild ("bright battle") and Gudrun ("battle-rune"), and these two were associated with the hero Sigurd, another son of Sigmund. Gudrun had also been associated with Helgi in other sources, as the hero's first wife.
Brynhild was the most famous of all the Valkyries. In the Volsunga Saga, Odin punished Brynhild, for assigning the wrong king to die in battle. Odin condemned her to marry a mortal. Brynhild vowed that she would only marry the bravest of warriors, so she slept in the Ring of Fire, until the bravest hero could ride through the flame. Sigurd had rode through the flame, twice. The second time, she was duped into marrying Gunnar, the brother of Gudrun, while her hero married Gudrun. In the end she caused Sigurd's death. Brynhild overcome with grief, died in Sigurd's funeral pyre. See Volsunga Saga for the whole tale about Brynhild.