Helheim

Helheim (also called Hel) is the desolate realm of the Val'kyr Helya. Here, the spirits of dishonorable vrykul spend eternity in an endless futile battle, always seeking glory but never able to attain it. Helheim is separated from the world of the living by an endless ocean called the Maw of Souls. The dread ship Naglfar delivers damned souls to Helheim by ferrying them across this sea. Helheim is connected to Haustvald and Tideskorn Harbor in Stormheim. Despite touching upon the Shadowlands, Helheim is not contained inside it.

For his misdeeds, Bryndaor was cursed to guard the gates of Helheim for eternity.

History
After the corrupted keeper Loken had restored Helya's free will, she called upon the same powers she had used to secure the Elemental Plane and sealed off Odyn's fortress — the Halls of Valor — with an impregnable, magical barrier. She then proceeded to create Helheim as an enchanted refuge for herself and the other Val'kyr far below the Halls, and bound it to Azeroth's great seas. Ocean mists soon enveloped her new home and shrouded it from sight, and the realm became the final destination for many vrykul spirits after death.

However, the darkness that had long festered in Helya's heart transformed Helheim into a place of nightmare and shadow, and the vrykul souls who arrived in the realm were soon transformed into the wraithlike kvaldir.

Helheim is the polar opposite to the Halls of Valor: while the greatest vrykul warriors are brought to the Halls, the unworthy were pulled into Helheim upon their death. The kvaldir also raided the coastlines and brought souls here before they could be judged, thus robbing Odyn of potential champions for his Valarjar. Upon learning that Helya had started stealing Valarjar souls, he started the Trial of Valor to test the might of powerful champions which he would send to finish Helya once and for all.

Notes and trivia

 * Since Helheim was created like the Elemental Plane, it is located within a pocket dimension.
 * Dying in Helheim gives the "Lost Soul" debuff, which says that your soul now belongs to Helya.
 * The Maw of Souls dungeon was named "Helheim" during the Legion alpha.
 * Besides the vrykul ghosts, prisoners of Helheim also include a few tuskarr spirits. They were presumably brought there by the kvaldir attacking their settlements in Northrend during Wrath of the Lich King.
 * is the name of the underworld in Norse mythology, ruled by the of the same name. It is one of the nine realms held in the branches and roots of the world tree.

Speculation
Helheim's exact location is unknown, but since Helya created it like the Elemental Plane it is inside a pocket dimension. Chronicle states that Helya created it "below the Halls of Valor", then it was bound to Azeroth's oceans. It is possible it is inside the Abyssal Maw, given Helya's involvement in the creation of the Elemental Plane and the fact that water elementals serve her in Helheim.