If I remember correctly, Valhalla is the feasting hall of the dead chosen by Odin and his Valkyries. In this role, Olin was analogous to Mercury, or Hermes, the Psychopomp. This is why our Wednesday (from Woden's Day, in Anglo-Saxon (speaking loosely) instead of Old Norse, in Spanish is "miercoles," accent over the first "e," from Mercury.
On the other hand, Alfheim and Vanaheim are pretty consistently in the list of the Nine Worlds, along with Asgard, Midgard, Muspelheim, Svartalfheim, Jotunheim. Then the lists get shaky with Niflheim and Hel maybe separate, maybe the same. And, yes, so far as I know "Hel" is cognate with "Hell." And sometimes someplace called "Nidavellir" is thrown in as the home of the dwarves. But some think Svartal in Svartalf, which means black or dark elf is just another name for dwarf!
The interconnection of the Nine Worlds by Yggdrasil made it into the movie. The roots of the World Tree are gnawed by the serpent Nidhogg, which would be a natural for Thor 3.
But what I want to see is Ratatosk, the World Tree Squirrel!