Thanatos is the god ruler of Underworld or Valhalla. He became a demon after siding with Navlesveir in his rebellion against Al'Vanas but he eventually betrayed Navlesveir and sided with Al'Vanas. He was not welcomed in Aesgard because he is a demon although he played a big role in Al'Vanas' victory against Navlesveir's forces so Al'Vanas gave him a realm for him to rule, Valhalla.
Cold, calculating and merciless, he will only keep those who are worthy and discard the others. Those who wishes to obtain immortality and control the dead must pass his tests. Those who failed will be trapped in Valhalla forever.