There is not much you need to bring into Niflheim aside from the usual preparations like bandages, food, and water.
The one thing you might consider bringing is a bow and a quiver for certain mobs that can't be thrown, but can be shot.
After entering the Ginnungagap, go 2w3d2s and push wall to enter Niflheim.
In the beginning area of Niflheim, there are some wandering souls. They are not agg, but will sometimes randomly use a skill on you that will give you a DoT debuff. These souls will also drop soulshards which you will need one of to complete Hel's quest.
Huginn is also in Niflheim, though he is somewhat hidden. Bring a see invis and go east and down from Muninn. Open the chest and there will be an invisible key inside. Go wu2wn and you will be one east of the door to Huginn's room. He will store soulshards for you.
Give soulshards to Huginn and he will tell you how to get them back later. (Not sure what the point of this is, since you can easily get shards every time you come in and you only need one shard per run. I guess there's the very rare chance that you might not get a shard)
Modgud is an agg mob edwn from Muninn.
To start Balder's quest, ask Hermod help, then ask Hermod yes. This will start you on the big quest in Niflheim.
Hermod will ask you to rescue Balder by convincing Sleipnir to take you through Niflheim.
Sleipnir is wse2ses from Hermod, but is agg by default, so instead go wse2sw from Hermod to get to Muninn.
Ask crow Sleipnir, then ask crow saddle, and finally ask crow sacrifice.
He will ask you to find a young woman and trick her into following you to the tree to sacrifice her.
In order to trick the woman, you need a bucket of blood.
Go edswuw to be one south of three wargs. Wargs cannot be thrown out, but they can be shot out with a bow.
Wargs also cannot see invis and can be killed by a mage that way.
This particular room with three wargs is a no flee room.
After killing all three wargs, one of them will have the bucket of blood in its corpse.
Bring the bucket to the woman who is sedenu2n3w from the wargs' den.
Give bucket woman and she will follow you. Go 2es and you will automatically sacrifice her.
Once she is dead, go ne2sw back to Muninn and ask crow sacrifice. Get saddle altar.
After you've retrieved the saddle, go 2es to sleipnir and ride Sleipnir.
Note: you do not need the ride skill for this.
After Sleipnir drops you off, go down and south to kill the Hukji, the hunter.
The hunter is agg and somewhat difficult, but he cannot see invis.
He himself, however is invis, so you will need a see-invis to get the drop on him.
After killing the hunter, he will throw a key into the river 1n from you.
Go north and get key river. This can do 250 damage to you, so be ready for that.
Go south and unlock cage. The woman will open one of two paths for you.
If the west path opens, you will have to kill more wargs.
These wargs also cannot see invis, and are non-throw but can be shot out.
Follow the path killing wargs, w3n, til you get to the volva.
Warning: there is a DT around here, be careful not to wander into it.
If the east path opens, you will have to kill spawn of Nidhogg.
These are a lot easier than the wargs. Follow the path, 3nw, til you get to the volva.
Warning: there is a DT around here, be careful not to wander into it.
You will be in the room with Voluspa (which is the name of a poem of the Edda) and Hvergelmir (one of the three wells at the base of Yggdrasil).
Warning: Drinking from this well will recall you, so save this for when you've completed Niflheim.
In this area, there are agg volva and an agg named volva, Hagda.
These volva can see invis, have magic sinks, and assist each other.
Move n2e while killing the volva. North of this room are upwards of 3 volva that cannot be thrown out.
After killing the 2+ volva north of you, you can open east and kill more volva while moving into Hel's palace.
One of the volva in this palace will have a key to unlock Baler's room.
Ask Balder help, ask Hel help, and then give mirror Balder.
If you give Hel one of the soulshards from earlier, she will give you the choice of three items: a frost-covered armor of dark alloy, the frozen shield of Hel, and the spear Gungnir.
Once you are done, drink from the well to recall and give the mirror to Hermod to complete Balder's quest for xp and a whois.