Lyric discussion by Hazhar 

Cover art for Valhalla lyrics by Blind Guardian

I think this is about a kingdom who have abandoned the old ways, and their old Gods, and have taken to worshipping a new Lord, King and Deity that rejects all their old ways in his "palace of steel". At first the people reject all the old customs: So many centuries so many Gods we were the prisoners of our own fantasty but now we are marching against these Gods I'm the wizard, I will change it all

But this new Lord and Way is not what it appeared, and the people realize through their new knowledge that they have lost something very important in rejecting the old ways:

Valhalla - Deliverance Why've you ever forgotten me

Magic is in me I'm the lost magic man never found what I was looking for now I found it but it's lost

The people realize the error of taking in this new outsider God and his ideals, and rise up against Him:

The fortress burns broken my heart I leave this world all Gods are gone

But now the people have nothing left, they have forgotten the old ways, and the new God is Dead:

So many centuries so many Gods we were the prisoners of our own fantasty but then we had nothing who'll lead our life no, no, we can't live without Gods

Obviously, to me anyway, the song is about Christianity in Europe, taking over from the Old traditional Ways of the people, and replacing it with a larger world view and order - which has ultimately lead to it's own destruction, leaving the people of Europe in a largely secular and meaningless society.

Then again, its probably about Lord of the Rings as well.