I just finished playing Max Payne today and liked how small things related to Norse Mythology. I also happen to have Cassell’s Dictionary of Norse Myth and Legend, and have found the following references:
Vallhalla (spelled out, obviously)
Valkyr (also spelled out)
Alfred Woden - Woden is another name for Odin, the Norse God of wisdom (He gave his eye for the gift of language)
Aesir Corp - Aesir is the general name for the Norse pantheon (fits well with the slogan “A Bit Closer to Heaven”, eh?)
Vladmir - Valdimir of Denmark who “[accompanied] the doomed heroes Gunnar and Hogni Gjukason on their mission to the court of King Half…” (Vladmir accompanies doomed hero Max to the court of Don Punchinello)
I’m sure there are a few more references I’m not getting in here.