Steam asparagus up to 2 days ahead, and store in zip-top plastic bags in refrigerator. Make dill sauce up to 3 days ahead; refrigerate in an airtight container.
Combine first 5 ingredients; cover and chill.
Snap tough ends from asparagus. Arrange asparagus in a steamer basket over boiling water; cover and steam 4 to 5 minutes or until crisp-tender. Arrange asparagus on a serving platter; drizzle with 2 tablespoons lemon juice. Serve with sauce.