First, which kind of lag is it?
People use the word lag for three different problems. A low frame rate means the picture is choppy all the time. Stutter means the picture is mostly fine but freezes for a moment now and then. Input lag or network lag means the picture is smooth but the game answers your clicks late. The fixes are different, so decide which one you have before you change anything.
Most of this guide is about a low frame rate and stutter. If the picture is smooth and only the response is late, look at your internet connection and the ping figure in the game, and close anything that is downloading.