Asgard is the name of the paradise where the Norse Gods live. In the episode A Kick in the Asgard, Billy climbed up a rainbow leading to Asgard. The Gate Keeper let him in, and Billy switched worlds with an unnamed Viking. In Asgard, Billy swam in and drank the godly nectar that came out of the Root Beer Fountain. He ate non-stop in The Great Dining Hall of The Gods with The God of Gods, Odin. After they feast, they went out to the fields to battle to the death. He fought well with his new brother, Thor, when suddenly Thor was vanquished by several arrows, and then Billy was stabbed. But in a Battle in Asgard, they fight for fun. When one dies, they just get sent back to the dining hall where they can eat more food.
Meanwhile Grim and Mandy busted into Asgard to get Billy back. But Billy had stolen Thor's Hammer, and took over Asgard. Odin and Thor were huddled up in the corner of the dining hall, hiding from Billy.
So technically, Billy who is a part man, part God, and, in the future, part werewolf, has taken over The Kingdom of the Gods.
In The Grim Adventures of Billy & Mandy (video game), Asgard appears as a stage named "The Afterlife". When the first part of the stage ends, various debris fall from the ceiling, "killing" all of the current players and transporting them to the second part of the stage.