Agility is indeed alot of fun! There is alotttt of work involved, though. I wouls suggest just starting out in the back yard with some homemade equipment ^^ There are alot of links online and how-to's for making equipment, like this one:

http://www.agilitybits.co.uk/Equipment/equip_index.html

Even just stacking up bricks and laying a stick over them works for a jump ^^
You'll also want to brush up on some obedience commands, particularly sit, down, come, and stay.

You'll also want to see a vet and make sure Lily is in good enough condition for agility ^^

-searches for more links-