I want to put some electrical plugs around my back yard can I direct bury the romex or do I need to put it in conduit. Can you buy special wire and how deep must the wire be buried.

Since you haven't given any specifics about what you are going to bury, and how long the run will be I don't have much to offer you.

Generally speaking you would need UF-B cable in order to be a direct bury cable. Also, all you can bury is the wire. Any outlets or j-boxes have to be above ground for easy access.