The first batch of Val'kyr were unwilling Vrykul that were transformed by Odyn, through Helya, against their will, so they could bolster Odyns numbers.
The second (and current, I guess) are trained Vrykul who are chosen by Eyir to ascend. They also kinda skip the whole "being judged" thing and take dead warriors straight to the Halls of Valor.
The Scourge ones are entirely different, they are Vrykul twisted by the Lich King into being Val'kyr... somehow? They never really expanded upon that.