You can do agility without being as into it as Dekka and some other people are. I mean no disrespect to those who are serious and into competing, but I disagree that it's not a sport to be taken lightly- if thats how you want to take it, then take it that way. If you want to be totally competitive and serious, take it that way. Regardless of how you do it, it's a lot of fun for you and your dog. You don't need to be competitive or anything like that. Just work with your dog and go slow. Like Dekka said, don't push them too far too fast. Start with low jumps and flat obstacles, use what ever motivates your dog to get them excited to learn the tasks, and work up as your dog gains comfort and confidence.
I do agility for fun with one of my dogs. He never had any formal training, but he loves going up to the course to have fun. He runs the entire course now with me not having to say anything, just jogging along and pointing to each object, and he can finish the course of about 12 objects in like 30 seconds. He may never be a true competitor, we may not have perfect lines to cut off milliseconds of his time, he may miss an object now and then, but he doesn't know that. He's just as happy for his reward at the end of the course as any agility champ.
You can make things in your yard. A couple buckets with a broom stick laid across can be a jump. An ironing board set a couple inches high can be a cat walk. PVC tubing is very cheap and versatile. You can make a tire/hoop kind of jump for a couple bucks with pvc, some black flex drain pipe, and some bungee cords. Scrap lumber nailed together can make a lot of things. Since my dog is big, we use things like the lawn swing as a jump, pieces of wood laid over the backs of lawn chairs, things like that. Use your imagination and have fun!