Valkyries are heavily armored female warriors that can resurrect fallen Northerners as magic-resistant Draugr and often accompany large waves of Wildlings and Huntresses to make greater use of their ability. Essentially, they are the northern version of Frontiers' Blood Trickster, and are one of the most dangerous enemies in the frozen north if your not careful since they can easily overrun your forces with a Draugr horde.
Artillery are great for damaging them along with the Draugrs. If a northerner is destroyed by artillery damage, they can't be revived as the body is destroyed (although the Valkyrie can raise them right as they explode).
Their high armor rating makes mages almost essential for taking them down.
Use barracks or goonies to prevent them from using their ability as they cannot use it while blocked.
Use both artillery/Goblirangs and a magic tower at chokepoints as the Valkyrie is heavily armored but vulnerable to magic, but the hordes of Draugr they summon are heavily magic-resistant but lack armor.