The name Asgard stems from the Scandinavian mythology.
Asgard is the abode of the celestials, Utgard is the abode of the giants. Midgard is between the two -- better than Utgard, but inferior to Asgard. Midgard is the abode of the first pair, from whom sprang the human race. It was made of the eyebrows of Ymer, and was joined to Asgard by the rainbow bridge called Bifrost.
From the Dictionary of Phrase and Fable, describing Asgard:
The fortress of the Asir or the Northern gods, the Olympos of Scandinavian mythology. It is said to be situated in the centre of the universe, and accessible only by the rainbow-bridge (Bifrost). The word As means a "god," and gard an "enclosure," our "yard." Odin was priest of Asgard before he migrated to the Lake Logur or Moelar Sea
The kingdom of Asgard is the land surrounding and encompassing the city of Asgard, nestled within the Asgard Mountains and the Sea of Marmora. Except for the densely-populated city of Asgard, the kingdom is a rolling green meadow dotted with small farms (map of Asgard, more explanations).
Quoting Norse Myths:
Thor is the mightiest of the Norse gods. Odin is his father; his mother is Earth. He drives a chariot pulled by two goats, and he has three great treasures: a belt that, when he wears it, doubles his strength; the terrible hammer Miollnir, with which he smites his enemies; and a pair of iron gloves, which he must wear to wield the hammer. Thor, red-bearded god of sky, is the guardian of Asgard, home of the gods, and of the homes and farmsteads of his worshipers.