When I was in school I remember a Viking story (not a saga) where a Valkyrie sent out by Odin to collect a fallen hero. When she watches the battle, she starts to fall in love with the hero. So instead of collecting him, she saves him and they run off together. They have adventures together until one day he is mortally wounded, and passes away in her arms. She then takes him to Valhalla where they continue to love each other.
Has anyone ever read this story and can tell me the title?