Valhalla
Valhalla is a giant icecube somehow inhabited by human life. They had a rather large Ork infestation for a while 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 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.
Notable Valhallans
Ferik "Smells like a Garbage Heap" "I blasted a Greater Daemon of Slaanesh" "More Kills than the rest of the Regiment Combined" Jurgen. Adjutant to Ciaphas Cain, HERO OF THE IMPERIUM. He is a Blank, and favors a Meltagun.
Trivia
Valhallan Ice Warriors are the first Imperial Guard Regiment that Games Workshop ever created