Valhalla (no, not that Valhalla) is a giant icecube somehow inhabited by human life. They had a rather large Ork infestation during The War of The Beast that they learned to combat by bursting from the glaciers under them with big drill-tanks and shooting everything in sight. Eventually they killed off the 'skins.
Valhallans are simply people born on the incredibly cold planet of Valhalla.
As Imperial Guardsmen, they specialize in DYNAMIC ENTRY through ice and snow, often through the use of a curious drill-tank thing called the Termite that has a quantity of flamers mounted on it. They have also been shown rather good at holding the line. As if most Guard regiments didn't do that already. They just love wearing green armored greatcoats for some reason. They are the Red Army in Space and it shows: they give not a single fuck as millions of them perish on the field of battle, like all good Russians do. Unless they're the 597th, who are basically the spetsnaz with women in space.
Unfortunately, nobody cares about them, as anyone who wants to do Russian Imperial Guard will just go with the much cooler (but not colder) Vostroyans.
Gunner Ferik "Stench awful enough to knock out a Plague Marine" Jurgen: Adjutant to Ciaphas Cain, HERO OF THE IMPERIUM. He is a Blank, and favors a Meltagun.
Commander Kubrik Chenkov: Imperial Guard officer that is the epitome of sending waves of men against his opponents.