The term "lag" is used very widely by gamers and when trying to get support for this, it gives the techies little information as to what could be the problem.
I'm going to clear up and define some of the different kinds of "lag" and give their proper terminology.
In future, using the correct terms will help both you understand what might be causing it, also helping techies trying to resolve the problem for you.

The term "laggy" or "lagging" is most commonly used when playing online games, as opposed to offline games, but not exclusively.

There are 3 main "types" of lag and many causes of each.
The 3 different kinds are: (in most likely order)
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1. Slow Computer.
2. Bad latency to the game server.
3. Busy games server.
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The most common would be the slow "off the shelf" computer problem. Off the shelf Computer manufactures generally side on the memory (RAM) and CPU power when costing the manufacture.
These give customer the feel of a fast computer because they can run several programs at once with a snappy response. The area neglected most due to cost is the graphics card. This only really influences the performance of games and is easily one of the most expensive parts of any computer.

This kind of "lag" is due to a low frame rate, this is the amount of times the graphics card can "paint" a new image onto your screen, building every part of your gaming environment many times per second. To find out if your lag is due to a low frame rate, Download Fraps. This tiny program will report your frame rate in game, anything below 20 is slow.
Some off the shelf computers will have what's called "on board" graphics, meaning the graphics processor (GPU) is built into the motherboard, (the main board in the PC). These are either a dedicated chip on the board just for processing graphics, or an extra function the north bridge chip has to cope with. In either case these are slow, even the best. Replacing this with a dedicated graphics card, spending as much as you can afford will fix your lagging games. My 8800GTX cost me £320 when I bought it. That is twice what my CPU cost and 3 times the price of my motherboard. Turning down the resolution or rendering quality settings can help in this situation. This gives the hardware less work to do, meaning it can do the work, more times per second.

The second most commonly experienced "lag" is the latency. This is the time taken for data to get from you to the game server and back to you. This is necessary to communicate the actions, positions and other information to the server, to allow others to view your actions, then for you to view theirs.
Slow latency or "ping" times to the server (anything above 100ms is painful) causes lag because the game cannot continue until it's received this update information.
This latency is due to the physical distance between you and the server, although can be caused by very bad wireless connections full of errors or other network curruptions along the many hops between you and the server.
There aren't many fixes for this other than selecting a closer, lesser ping server where possible.
In the case of the wireless transmission errors causing the problem, selecting a different wireless channel can help.

The final kind is caused by an overloaded game server, taking on too many players than the hardware or connection speed can handle. Requests for new updated data from the game are queuing up and not being handled quickly enough, causing similar symptoms to a high latency. This can only
resolved by selecting a less populated game server or choosing another, hopefully on faster hardware.

There are some other causes which don't fit into the above 3 categories, but these are less common and usually "phantom" and a nightmare to troubleshoot. Usually asking other players if they're having the same problem can indicate lag type 3... because it's unlikely they've all got bad hardware or are all far from the server.

This summarize the main 3 kinds of "lag" experienced by gamers, I hope this will help you determine the possible cause of your woes, understand the reasons and more easily find your solution.