Norse/fantasy themed megaconstructs? Do it do it doit doit doitdoitdeweet!
I found some quick concept references off Google Images, but I'd only use them for inspiration. Trying to make a completely accurate recreation of a conceptual image of a mythical subject is a silly thing to attempt.
I'm not sure how one would attempt building an Yggdrasil; one does not simply build a tree. I guess you could build a dwarfy idol of Yggdrasil built entirely of wood harvested from tree genocide and glued together with elven tears, complete with flowing rivers and all that jazz.
Never heard of Gauntlgrym or Mithril Halls though, and not much popped up on Search. There's a neat map of Gauntlgrym (I assume) that could easily be translated to DF at least, not including the height of walls or buildings. Also included is what looks like a towering keep used for whatever Gauntlgrym used it for, I dunno. found it on a wiki page, it looks like.
Mithril Halls sounds/looks like the standard dwarven Moria-esque mine. Got some maps of it though and fanart that shows the scale of an average hallway, I assume.
I'd go with Valhalla or Yggdrasil myself. Building a kickass hall for kickass warriors is a suitably dwarfy architectural task, and if massacring trees in the name of building an even bigger tree with their corpses isn't dwarfy, I don't know what is. Hoped this was of some assistance/inspiration.