Rama -
For SSL VPN client certificate - you can use a third party certificate - The reason to use the third party certificate is so that the Root Certificate of the Certificate Authority is already pre-installed with the browser.
Eg: Verisign, Go Daddy, etc...
So - when the client connects to the ASA, the client looks at the certificate ASA sends and since the ID cert of the ASA is authorized by the third party Root, which is in the root trusted certificate of your client browser, the users don't get prompted for Certificate authentication.
So, when you use the self-signed certificate that is issued by the ASA, you would need to install the certificate issued by the ASA into the root trusted certificate field for the first time on the client browser.
And the next login attempt of the client will not prompt for certificate validation if this is done.
Anyway - its upto to the network administrator to device which one to use.
Normally it would be nice to use the third party certificate because, the users will not have to go through the process of installing the certificate assigned by the ASA in case of self-signed cert.
Hope this explains.
Rate this post, if it helps.!!
Thanks
Gilbert