Valkyrie may look a little clunky, but I think she's actually OK. You'll benefit a lot from knowing what's in the villain's deck, and you really need Dragonfang (and sometimes also Valkyrie's Spear) to be good.

Against minion-heavy scenarios, being able to ready your 3 or 4 ATK hero for a cost of 1 (not even 1+card, as is standard for that effect!) any time you see a minion is super amazing, full stop. The key is to leave your Death-Glow out of play until you're ready to whack a minion. IF you know you're going to be flipping down to Alter Ego soon, and if you have the spare resources, it's OK to temporarily stick Death Glow on the villain to sneak in some extra damage, with the intent to "Not this day" before going back to hero form. But mostly you'll want to focus on killing minions and throwing shots at the villain as you can.

If you're against a scenario that doesn't have many minions, it's fine to just put Death Glow on the villain, and be a 4 ATK hero. That's good! Most heroes can't pump their ATK that high with their base kit. You get very efficient Shieldmaiden plays once you have the Spear: 1+card to prevent 5 damage is great. Chunks of your kit don't work as well in this paradigm (Flight of the Valkyrior, Chooser of the Slain) but are still usable, and you can always just use those to pay for the other 25 non-hero cards in your deck. And if some minions happen to pop out (or you draw Chooser) while you're in Alter Ego form for whatever reason, it's perfectly reasonable to "Not this day", put Death Glow on the minion, whack it, then put Death Glow on the villain. Here you've spent 1+1 for the two Death Glow plays, and readied your 4 ATK hero, which is reasonably efficient. And you also got to trigger any Flights you had been sitting on, which are very efficient thwarts.

What you don't want is to spend large portions of the game without Dragonfang, so mulligan hard for it. Thwarting is your biggest weakness, so include some cards to help you with that, and/or play with teammates who are good at it. You may want some cost-reducers (Helicarrier) and/or resource generators (Quincarrier) to help you deploy Death Glow repeatedly on those turns where there are multiple minions to take out. Having access to overkill and overkill-like effects (Relentless Assault, Into the Fray) helps make your minion-killing endeavors efficient, but don't overload on too many effects that only work on minions if you want to be able to handle low-minion-count scenarios.

P.S. Try to build so that you can consistently generate on any given turn, or you're gonna have a bad time

A little confused with this card and the Unique rule. The unique Rule reads:

If a hero and a unique ally share the same title, but the alter-ego and the subtitle are different, they may coexist in deckbuilding and in play.

The Valkyrie ally has the same title as the hero, but has no subtitle, so... As it has no subtitle, but has the same title, they cannot be on the same deck, or... as the ally has no subtitle, it has a "different" subtitle than the alter ego of the hero, so they can be used together ?

I think both options have sense tematically , as they are many valkyries, so the ally can be "any of them", and not specifically Brunhilde.