Asparagus has two great advantages: it's a perennial, and it's ready to harvest really early in the spring. Plus it's pretty tasty! It is available as "crowns", which are basically bundles of roots. The ones we got from the mail order catalog were much fuller and healthier than the ones from the garden shop.
Since you only get one chance to plant your asparagus bed, you need to do it right the first time. Unfortunately that's not something I'm really good at. You need to dig a trench 8-10" deep, mix some compost or rotted manure into the bottom, then spread the roots out 12-15" apart. Cover them with 2" of soil, and then continue covering them as they grow until the trench is filled in. Don't harvest any the first year, and go easy the second.
Once the bed is established you need to keep it fertilized and weed-free.