Valkyrie, or Brunnhilde as her fellow Asgardians call her, is the former leader of the Valkyrior, the Choosers of the Slain. Her old job was to escort the souls of fallen heroes to Valhalla. But that's not the only reason she's an amazing character - she can still tell when someone is about to die by seeing a "deathglow" around them, which has to qualify as the most disconcerting power ever, for other people that is. Also, just for extra cool points, she rides the winged horse once owned by the Black Knight. And, after she gave the slightly dodgy ebony blade to him, Doctor Strange made sure she was still well-armed by giving her another magic sword, Dragonfang, forged from the tooth of an actual dragon. Why she won't be in the Avengers movies: Asgard has already been introduced to the MCU, so you'd think there would be no issue with bringing in additional godly characters from that pantheon. But, think about it, once Valkyrie shows up, the movies would have to confront the question of what the afterlife in the MCU is like. Movie executives are probably going to be far too squeamish to tackle that issue head on. On the other hand, TV executives may snag her character for the Defenders mini-series on Netflix, since they might welcome a mild dose of religious controversy. It'll be good for the ratings.