When Sigurd wakes up Brynhild, we learn that her imprisonment was the result of her defiance to Odin's command:
Then Brynhild speaks again and says, "Two kings fought, one hight Helm Gunnar, an old man, and the greatest of warriors, and Odin had promised the victory unto him; but his foe was Agnar, or Audi's brother, and so I smote down Helm Gunnar in the fight; and Odin, in vengeance for that deed, stuck the sleep-thorn into me, and said that I should never again have the victory, but should be given away in marriage; but there against I vowed a vow, that never would I wed one who knew the name of fear."
Source: Chapter 20, The Story of the Volsungs, translated by William Morris and Eirikr Magnusson
Why would Brynhild favour Agnar? Wasn't she, as a valkyrie, bound to Odin's will? Is this act of disobedience unique among the valkyries?