They believed half the warriors who died in combat would go to Valhalla, where they would prepare with Odin for Ragnarök, the last battle. The other half of those who died in combat went to Fólkvangr with Freya, the goddess of love. Those who didn't die in combat went to Hel (not Hell, though it's a similar concept). There's speculation that the concept of Hel was influenced by the Christian Hell, and that prior to the advent of Christianity the place where people not killed in combat went was Helgafjell, a holy mountain on the physical earth where afterlife went on as a continuation of life.
They believed they would go to Valhalla....but what we don't know is...Valhalla is only allowed for men. So where did the women end up?