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To open a wormhole into another galaxy a huge amount of energy is needed. ZPM to go to Atlantis for example. Nevertheless, O'Neill could reach the Asgard home planet. Afterwards the SGC never reached it.
Was there ever a explanation I do not remember?
The episode in question is The Fifth Race.
O'Neill ends up interfacing with an Ancient knowledge repository, the kind that downloads a bunch of info directly into his brain and slowly kills him. You see this kind of device later (and O'Neill pulls the same stunt) when they are searching for Atlantis.
Under the influence of the device, he does build some kind of power cell and attach it to the gate system. He does this more or less on instinct, in order to reach the Asgard, who appear in hindsight to be the only race that could help him survive the download. The energy cell burns out after it's single use, so they are unable to reach the Asgard directly again until later in the series (not to mention, they have no other known 8-chevron addresses to experiment with).
Since a couple people have contributed the link in comment now, here's a Wikia entry on the device Jack built. It does source an RPG book for some of it's info, but appears to be canon-worthy nonetheless. The article also points out, as @Edmund Dantes contributed, it is finally repaired to be used again to reach the Asgard - for an alternate Earth, in the episode Point of View.
