"Conan opened his eyes and stared into the bearded faces that bent over him. He was surrounded by tall golden-haired warriors in mail and furs." -- Robert E. Howard: "The Frost Giant's Daughter"
The nation of the Aesir, situated east of Vanaheim and the Blue Mountains, west of Hyperborea and the putative River of Death Ice, and north of Cimmeria and the Eiglophian Mountains.
Asgard and Vanaheim together comprised the region known as Nordheim, which was probably analogous to the mysterious Thule of pre-Cataclysmic times. The high mountain regions were permanently glaciated, with the glaciers growing as the climate cooled. In the southern lowlands, taiga forest was presumed to cover much of the terrain. North of this lay the tundra, a soggy plain underlaid by permafrost.
The Aesir who populated this rugged land were a numerous and virile lot. A shade less bloodthirsty than their neighbors the Vanir, they nonetheless gloried in warfare, wearing their famous horned helmets and swinging awesome battle-axes.
During their more peaceable moments, the Aesir supported themselves by hunting abundant musk ox, mammoth, bear, reindeer, moose, fox, and the like. They doubtless augmented their meat diet by gathering lingon-berries and other wild fruits in season. They had no agriculture. Each tribe of Asgard was ruled by a "king", whose headquarters was a timber-roofed Great Hall.
There seems to have been a rough alliance between Asgard and Cimmeria, since the young Conan spent time with the Aesir raiding both Vanaheim and Hyperborea. Asgard was one of the few nations never subdued during the wars of the latter Hyborian Age. The creeping glaciers ultimately forced its people out.
After the end of the Ice Age, the heights of Asgard formed the Scandinavian Peninsula.
References: Hyborian Age I-II, Frost Giant's Daughter, Phoenix on the Sword, Hour of the Dragon, et al.