Emily from IRidetheHarlemLine has visited the Valhalla station recently, taken her usual batch of stunning photos, and poked around for some interesting details.
She writes of the hamlet’s name and history:
The story (whether it can be validated or not, I am unsure) is that after the village of Kensico was flooded (for building the dam) the relocated people and their post office needed a new name for their town. The postmaster’s wife, who was a fan of Wagner, chose Valhalla. One of Wagner’s operas is titled Ride of the Valkyries, the Valkyries being those who transport the deceased warriors to Valhalla. Considering the hamlet is well known today as being the resting place of many people, with all its large cemeteries, I bet that woman thought she was pretty sly.