This is a nice and useful trick, that will also be the start of a few other ones (like 'Play dead', 'Roll over' or 'Crawl')
Your puppy will be laying down, with his front pawns stretching ahead of him
How to do it
There are various ways to do this: the one we like to most is this one. Have your dog sit, say 'Lay' and then "pass" a cookie in front of his mouth, going all the way down to the ground with your hand: the puppy will naturally follow the hand (and the cookie...) and he will end up laying down. Give him the treat only when he stretches his forearms in front of him - and praise him a lot.
Tips & Tricks
After a while just say 'Lay' and point with your finger to the ground - your dog will lay at your feet!