Asgard is the home of the Asgardian gods and their equivalent to the Olympian Mt. Olympus. While Olympus appeared as a lavish Greek temple and palace high above the clouds, Asgard took the form of a Norse castle and feasting hall jutting just above the clouds. And while Olympus featured temperatures comfortable enough for the Greek gods to wear their signature revealing outfits, Asgard was cold enough that even the Norse gods wore heavy furs at almost all times.
Asgard is physically reachable by crossing Bifröst (the Rainbow Bridge) (HTLJ "Norse By Norsevest"). Its precise relationship to Valhalla was never clarified. (Xena: Warrior Princess: "The Rheingold", "You Are There")