The word “valkyrie” comes from the Old Norse word “Valkyrja”, meaning chooser of the slain, a phrase frequently used by Lenneth in the game. They are considered semigoddesses of death and are usually represented by a raven, and sometimes a falcon. They are usually represented as females who are blonde and fair-skinned, clad in armour like that of Lenneth’s in the game, weilding a shield and a sword.
Their primary duty is to choose and gather the souls of the bravest and most capable of heroes and warriors who have been slain and send them to Valhalla–in other words, the Valkyries are judges to see if one is worthy to be sent to Valhalla or not. If the hero is deemed by the Valkyries as unworthy of the hall, they will be sent after death to the goddess Hel in the underground world. (This can be seen in the game, where Badrach was almost sent to the underworld when Valkyrie decided that he did not have any redeeming traits.)
The Valkyries are considered the foster-daughters of Odin and they must obey his commands and remain virginal. This is probably why Lenneth calls Odin her father and disapproves of love between human and gods. The chief of the valkyries seemed to have been the goddess Freyja, and hence this may be the reason why Lenneth and Freya in the game keeps a close relationship with Lenneth taking direct orders relayed from Odin by Freya.
The Valkyries can be found in much poetry, like the Poetic Edda. Initially, they were portrayed as wargoddesses and slowly, they were portrayed as gods who would fall in love with mortals, just like how was portrayed in the game in the case of Lucian. An except of a poem in which Valkyries are found in is:
Which describes the Valkryies as armoured guardians that wield spears to protect fallen man and after procuring their souls.

[...] Valkyries Posted by: sunomiya | December 13, 2009 [...]
By: Terminology used in the game and Norse Mythology « Valkyrie Profile Decoding Project on December 13, 2009
at 11:01 am