First of all, most trainers require that dogs have completed at least a basic obedience class before proceeding to agility training. This is critical to agility training and, in my opinion, every dog and handler could benefit from a basic obedience class. I learned that I have a food-motivated dog and that she will work her heart out for highly prized treats, not for punishment! There are skills you and your dog will learn, through an obedience class, such as recalls, sit/stays, down/stays, and walking nicely on a leash. Each of these skills is something you will need every time you compete, not to mention day-to-day life with your dog.
The pace of your training will always be set by your dog. Each dog learns at a different speed and, what comes easily for one dog, may not come easily for another. So, be very patient while training your dog any skill. Make it a game. Let your dog take as much time as it needs, without getting impatient or frustrated, to figure out what behavior you want from it.
All tasks must be broken down into small pieces, whether the task is a simple sit, the beginnings of obstacle training, or more complex tricks or agility sequences. If you break the task down to something small, then mark/reward and repeat, several times before making the task larger, you will have success without stressing the dog out. For example, when training an agility tunnel, you scrunch it up to its smallest form. Have someone place your dog at the entrance while you sit on the ground at the exit, with a treat, and call your dog. As soon as the dog comes through that little piece of a tunnel, you mark/reward. Slowly begin expanding the tunnel using the same technique. In just a few minutes, you'll have your dog going through however long a tunnel you need.
For agility training, once the dog begins obstacle training, there is never a wrong answer. Dogs get confused, and may shut down, if they start being told they're doing the wrong thing, so keep the training light and never scold for doing the incorrect thing. If the dog doesn't do what you want it to, you simply do not mark/reward for that action. You just ask again and, the minute you get the correct response, mark/reward and make a huge deal of it. That will make your dog more anxious to give you that same answer again. As you start competing, you might want to use a particular word to indicate the incorrect response, such as "uh oh," or "oops," but not with a scolding tone. This will indicate that the dog will be asked to try again but everything is fine between the two of you.
Lastly, always keep the training fun for both you and your dog. Even when you start competing, or have been competing for a long time, this is critical. If you start getting caught up in the competition and title-winning, you might forget why you started agility to begin with: because it's fun! When the game stops being fun, your dog won't enjoy it anymore and neither will you. Agility is a wonderful sport and will forever secure the relationship between you and your dog. Run fast, run clean, and, above all, have fun!