Short answers, pulled from the story.
Asgard combines the Old Norse words ás, meaning god, and garðr, meaning enclosure. The full name Ásgarðr therefore translates as "Enclosure of the Æsir". It can be anglicised in at least nine different ways, including Ásgard, Ásgarth, and Esageard.
Asgard has no single fixed location in the sources. Snorri Sturluson places it at the centre of the world, surrounded by Midgard and then the lands of the jötnar. Other texts position it in the heavens, accessible via the rainbow bridge Bifröst, or to the east over the sea. Scholars debate whether a consistent spatial model was ever intended.
Snorri Sturluson, in both the Prose Edda and the Ynglinga saga, identifies Asgard with Troy using a method called euhemerism. In Gylfaginning he states directly that the city built by the gods in the middle of the world is called Ásgard and that men call it Troy. This links Norse mythology to a wider medieval European practice of claiming Trojan origins, also seen in Virgil's Aeneid and Geoffrey of Monmouth's Historia regum Britanniae.
An unnamed jötunn offered to build a fortified burg for the gods in exchange for the sun, the moon, and Freyja. With his stallion Svaðilfari doing much of the heavy work, he came close to meeting the deadline of a single winter. Loki, transforming into a mare to distract the stallion and slow construction, allowed Thor to kill the builder with Mjöllnir before the bargain had to be fulfilled.
Asgard is named exactly twice in Eddic poetry. Once in Hymiskviða, where Thor and Týr depart from Asgard to retrieve a cauldron from Hymir, and once in Þrymskviða, where Loki warns that jötnar would soon inhabit Asgard if Thor did not recover Mjölnir.
After Ragnarök, gods including Váli and Baldr are described in Gylfaginning as meeting at Iðavöllr, the field where Asgard once stood. There they find in the grass the golden chess pieces that had once belonged to the Æsir.
Thor, and with him the Marvel version of Asgard, first appeared in the comic series Journey into Mystery in issue 83 in August 1962. Thor subsequently became one of the central figures in the Marvel Universe alongside Loki and Odin.