Deep learning based recommendation models (DLRM) are widely used in several business critical applications. Training such recommendation models efficiently is challenging because they contain billions of embedding-based parameters, leading to significant overheads from embedding access. By profiling existing systems for DLRM training, we observe that around 75\% of the iteration time is spent on embedding access and model synchronization. Our key insight in this paper is that embedding access has a specific structure which can be used to accelerate training. We observe that embedding accesses are heavily skewed, with around 1\% of embeddings representing more than 92\% of total accesses. Further, we observe that during offline training we can lookahead at future batches to determine exactly which embeddings will be needed at what iteration in the future. Based on these insights, we develop Bagpipe, a system for training deep recommendation models that uses caching and prefetching to overlap remote embedding accesses with the computation. We design an Oracle Cacher, a new component that uses a lookahead algorithm to generate optimal cache update decisions while providing strong consistency guarantees against staleness. We also design a logically replicated, physically partitioned cache and show that our design can reduce synchronization overheads in a distributed setting. Finally, we propose a disaggregated system architecture and show that our design can enable low-overhead fault tolerance. Our experiments using three datasets and four models show that Bagpipe provides a speed up of up to 5.6x compared to state of the art baselines, while providing the same convergence and reproducibility guarantees as synchronous training.