Valkyrie
Valkyries are a term originating from the Nordic religions of the Vikings, being warrior-women servitors of Odin who invisibly observed battles to seek worthy souls to take to Valhalla. Though most commonly imagined as angels of death who carried away the souls of the slain worthy after the fighting was over, originally they took a more direct role in gathering souls - causing accidents to ensure that a suitably worthy fighter got killed. Often imagined riding flying horses (either winged or simply air-walking) thanks to certain famous Germanic arts, in the original sagas, it's actually implied they ride flying fucking giant wolves.
Very popular motif in Germanic operas.
The word "Valkyrie" means "Chooser of the Slain", and is such a badass term that it gets yoinked in a lot of settings as the name for an air or space fighting machine. Valkyries, or ersatsz thereof, often show up in fantasy settings and games.
In Warhammer 40000
The Valkyrie and its derived craft are a series of Imperial Navy VTOL-capable gunships/dropships capable of carrying Infantry squads into battle and provide covering fire. Because of their sizable engines they can travel at considerable speed, evading enemy fire that would otherwise cripple the ship. Also capable of extremely limited flight outside the atmosphere, though the cargo won't thank you if they don't have respirators.
Valkyrie
The standard Valkyrie is only lightly armed compared to the others. Sporting a single Multilaser or Lascannon, two Hellfury Missiles or Multiple Rocket Pods, and possibly two sponson-mounted Heavy Bolters. Its main feature is a transport capacity of 12 men, whom the Valkyrie can carry across the battlefield fast and in relative safety. Consider it as an objective capper for late game "YOINK, DONT MIND IF I DO" drop squads.
Vendetta
The Vendetta fills two roles. Aside from its transport capacity of 6, it carries three twin-linked Lascannons to enable it to act as a dedicated vehicle and flyer hunter, which generates a lot of rage as it can be taken in SQUADRONS. The Vendetta spam people feared never really occurred. It's hard to reliably shoot more than twice a game against routine lists and its reduced transport capacity limit it to Special Weapon Teams, Scions and Command Squads.
Vulture
Foregoing its passenger bay for a single massive engine, the Vulture is the dedicated gunship variant of the Valkyrie. Aside from its nose-mounted Heavy Bolter it can carry any combination of Lascannons, Autocannons, Multilasers, regular missile launchers, Multiple Rocket Pods, Hunter-Killer missiles, Hellfury Missiles, Heavy Bombs, and even a single twin-linked Punisher Gatling Cannon as its primary weapon. The two advantages the Vulture has over the other members of the V family are the Strafing Run (+1 BS against non-flyers) and Vector Dancer special rules. Unique amongst Imperial flyers, this allows the Vulture to turn, fly in a straight line and turn again, making rear armour shots with its entire arsenal quite easy to set up.
Some would call it the "Flying Blender", relating to how the big-ass air intake of the engine is right behind the cockpit. Along with obvious danger of the pilot being turned into a human smoothie if the cockpit is ever breached or would readily barbecue him if the engine explodes; it also passively puts the pilot in danger as the intake is sucking air along the cockpit, meaning that any shrapnel or debris that comes his way would be drawn directly towards the cockpit and accelerated at high speeds, giving it a good chance at either damaging or outright penetrating the cockpit's shielding and hitting the pilot (Which is why fighter jets typically have their engines mounted to the side or below the cockpit).
To invoke maximum nerd rage, use an AH-64 Gunship model at 1:35 scale to represent this model if you don't have 150+$ laying around.
Sky Talon
A Valkyrie that has had its weapons and crew compartment scrapped in favor of four magnetic clamps that can carry either two Drop Sentinels or a single Tauros or Venator.
In Dawn of War, this is the vehicle that drops off prefabricated Imperial Guard vehicle components, as well as parts for the Baneblade at the Mars Pattern Command.
In Dawn of War 2, it drops off turrets, personnel, and vehicles.
While these flying heavy bolters lack real purpose as transport (noting that Tauros are fast vehicles, and drop sentinels can deep strike), consider taking them for their Multiple rocket pods option: At the same points cost as single taurox, and with rocket pods they can really ruin light infantry's day (2 5" blasts and Tl bolter, for 100pts? and it flies? thx me want).
Reasons to Rock a Few Valkyries/Vendettas
6th Edition flyer rules, and Grav Chute Insertion. These things have three hull points, 12 armour front and sides, and are only hit on snap shots without AA. They can move up to 36" and fire their entire arsenal (and ho boy, what an arsenal it is). As if that wasn't enough, with grav chute insertion, their passengers can deep strike to any location the V flew over. No need for the V to land. The 7th ed Mont'Ka book even provides a spiffy formation for 3-9 Vendettas or Valkyries which come in on one roll but also can elect to drop their passengers without scattering.
Speaking of landing, if things get a bit too hairy for maneuvering a flyer, say a cities map with a lot of tall buildings, they can drop into hover mode and dance on the spot. A useful little trick.
The downside is, as always, the model's price. The Vendetta runs even pricier since you have to buy the twin-linked lascannons in resin from Forge World (CASH FOR THE CASH GOD, DEBT FOR THE DEBT THRONE!). But presuming you already have some spare parts left from your heavy weapons teams armed with AC or ML you have pretty nice source of LC (unfortunaely you'll need five of them). Cut one to glue it right under the front LC that goes with the default kit. Glue other four to wings and you're good to take off.
They also take up a lot of space, so put some cash aside for model cases. This can be helped with not gluing wings, so they can be deattached from hull. Wings will stay on their places pretty firmly for a table top game.
A further method exists for the more psychotic amongst you with a surplus of magnets - glue the main hull as normal apart from the front most 'D' pane, and the two enjines. Use a pin vice or drill (4mm works well) to place magnets in these holes and pair them to the 'studs' of the engine blocks. Now glue the cockpit to the D section. the shape of the engine intakes means that when the magnets snap into place, the engines hold the cockpit on the front - saving about 4 inches of space.
The Vulture, being 5 blocks of resin and one half of the Valkyrie kit needs a different approach. Instead of a detachable cockpit section you're pretty much required to weld it to the engine block as the join is very narrow and the section is remarkably heavy. Instead, thanks to the socketed sections in the engine block it's possible to make both the wings and the tail booms detachable with some filing to even out the connection points and a few magnets to hold them in place.
In Starcraft
Valkyries are air-to-air flying units for the Terran faction, introduced during the Brood War expansion to the original game. They fire clusters of homing missiles that shoot rapidly and do splash damage, making them excel at decimating clumped-up groups of fliers.