This is the first time the Asgard are mentioned in the show, as Daniel has been researching gods throughout history and discovered polar opposites to the goa'uld - helping humans using 'magic', which of course refers to advanced technology (see Arthur C. Clarke's famous quote). Teal'c offers a gate address taught to all jaffa to stop any goa'uld traveling there, and the team go to explore the planet Cimmeria (alas, Conan doesn't seem to live there). Upon arrival the team are scanned by a large hammer-shaped device and Teal'c, after appearing to climax, is transported somewhere with O'Neill who tries to save him. The two meet an Unas (who, as a species, also get their first mention) while Daniel and Sam meet a former goa'uld host, Kendra.
Hardly anything is revealed about the Asgard or Unas - only that the former are a spacefaring race of aliens who oppose the goa'uld and have similarly advanced technology, and the latter are another species of very robust aliens that the goa'uld sometimes infected in the past. I think it's actually left a little ambiguous whether they were a species or just one being - this goa'uld refers to itself as "Unas, the first one". Sadly after the symbiote is killed by Thor's Hammer, the host's body is too injured by the Earth weapons to survive, so we can't find out anything else for the time being. The only glimpse we get of the Asgard is a hologram (played by Mark Gibbon, who also appears as a jaffa in much later seasons) and some of their technology. I'm not sure why the name 'Asgard' was chosen over 'AEsir' (in Norse mythology, Asgard refers to the home of the AEsir gods) but these aliens inspired the Norse gods of ancient and medieval Europe.
The biggest plot point of this episode is that everything, not just something, of a goa'uld host survives, as evidenced by Kendra. This gives hope for Sha're and Skaara, who were taken as hosts in Children of the Gods. Unfortunately, to save his friend Teal'c, Daniel has to destroy Thor's Hammer, but as he points out, "at least we know it can be done." I actually think he makes this choice far too fast, especially as he and Teal'c haven't really been shown bonding yet, but it was important that they had him do it rather than resent another team member for doing it.
The audience don't know it yet, but there is a link between the aliens from a few episodes ago, the Nox, and the Asgard, which will be shown in the next episode, The Torment of Tantalus.