I got my first from my first VoG run. Never heard anything about any Gjallarhorn, just dropped from the exo chest. Two of our fireteam shouted "WTF GJALLARHORN!!!" and I just asked them that what is this ? Some rocketlauncher ?! And then they started to smack me around the room and cursing me x) second I got from Deathsinger about 6 months later, and third I bought from Xür. Wanted third so that I won't have to keep changing it from one character to another all the time x)