Erm, did you guys pay attention to Doomie? Doomie said the line about Rudolph has to do with "reindeer" games.

With this, I'm guessing Odin.

Shielded from the light, - He remains in his dark little chamber.

As the evil and despair builds up, - Not sure, he talks during the countdown.

I can taste the victory - Relating to zantetsuken? or the fact that he never fights back?

Find me near the Puny Castle - he's freaking huge, along with this throne, so the centra ruins seem small.

Joining Rudolph in the pit of loneliness - Reindeer games may be referring to how you have to beat the time limit and solve the puzzle to get to Odin, who happens to be alone in his chamber.