Valhalla sounds cool, but I have a scientific view on the afterlife.
The energy that you inhabited leaves you when you die because you cannot destroy energy, and when it enters another creature (I know that it is near impossible for a new being to gain all of your dispersed energy) it will have some of your emotions or brainwaves or whatever immprinted on it from when you died. You disperse energy throughout your life though, so really your soul is everything in my opinion, which is why I think the Hindu idea of God being everything at once is closer to the truth that the Christian God.
Also that makes me think, are the sudden urges to eat sweats from a random fat person who just saw a cake and thought really hard about it? Because a powerful brainwave would definitely do something to energy...
Edit:Alternatively if I died and gained complete and utter control of an alternate dimension that had no current form, that would be epic. Essentially a build your Heaven type deal.