I second Sue's advice on finding a good trainer. Unfortunately, in some areas of the country, there is not much choice. You use the trainer that's close, because it may be the only trainer within three hours. To counteract that, you need to read books on Agility - and it would be a good idea to subscribe to "Clean Run", which will give you an idea of alternate training methods as well as providing you with courses from Agility trials from all over the country. I can give a list of Agilty books that come highly recommended - I also wrote a column about Agility books and where to get them for "Capers". Also, try to avoid trainers who train one way - their way - and will not allow you to train with an alternate method if their method is not working with your dog.
When I started Tyler, we trained the dog to walk up, over, and straight off the contact obstacles. This was 4 or 5 years ago - UKC was about the only game in town - and "straight on, straight off" was the mantra - with no concern about staying on contacts because "everybody knows those short-legged dogs never miss contacts." I know this is untrue now, of course. April has NQ'd a couple of times while running AKC Excellent courses strictly because she bailed out on the A-frame contact, Tyler missed the teeter contact, and Teri, who is owned by Emily Krokosz on this list and is an 8" Corgi, cleanly missed a dogwalk contact (and she has the photograph to prove it). April received about the same up, over and off training, because I went to the same trainer. But we're working on her contact problems. Tug, however, has learned to stick - and stay - on contacts. You start with targetting, as Stephanie described, but you eventually remove the target from the bottom of the contact (or the last cleat) and teach the dog to stop and wait for a treat from your hand. Because Tug is MUCH faster than April or Tyler, this will also allow me to tell him "Mark!" - and I will be able to catch up to him or cross in front of a contact obstacle - giving me another handling option.
I want to also say a word in favor of clicker training for Agility. April is a very shy, submissive dog, and I figured I'd never get her into Excellent. But the clicker allows me to let her know when she's done something right without having to be very close to her - giving me a little more distance - which is something she prefers anyway. It's also helpful in training "Gambler's" sequences and obstacle discrimination. I also use the clicker for Tug.
Agility is something I urge everyone to look into. It is a lot of fun, and the dogs seem to love it.