For your dogs safety (and your sanity), the most important thing you can teach your dog is to come when called. The last thing you want is for your dog to chase after something right into oncoming traffic or get into a situation that is not safe.
The main components for any training are consistency and patience. Most people start by teaching their pet to sit and then to stay. Once your dog has these two down, you can start the most important lesson of all - "come."
If you want to teach your dog something new, you need to make sure that you've got something that they want. Be ready to reward your pet with something they love and lots of praise; it can be treats, toys, or whatever makes them happiest. Make it easy for them at first. When teaching them to sit, as soon as their little booty hits the floor, reward them! You can make them sit before everything that they do. Ask them to sit before you put their food bowl down, before you give them a toy, or before you put their leash on, etc. Once they've got the hang of it move on to "stay." When they stay for 3 seconds, reward them! Gradually wait a little longer for each "stay" before you reward them. I might be wrong, but I've always felt that "stay" and "come" work hand in hand once you start moving away from your dog during these training sessions teaching them to stay. When you are able to walk a little ways away while your dog holds his stay, you can give your "come" command. After the second try they will usually be more than willing to run to you for their treat.
After you've worked with your dog for a while and you feel they really understand the "stay" command, you need to take things to a higher level. (If your dog has a favorite treat, you'll want to use them for this command and no other. You want to make sure that your dog will come to you no matter what the circumstances might be.) Call your dog a few times throughout the day when you are not actively training. Make sure that you are prepared to reward them as soon as they get to you and praise them like crazy. You'll want to start off indoors while in the same room. At first make sure there are no distractions by anyone or anything. Once they come each time they are called, try calling them when they are playing or otherwise distracted. After a few days of success, try calling them from a different room. You will eventually end up in the yard with them, then possibly off leash somewhere safe. Remember that practice makes perfect. ;O)
The one thing that can put a kink in your training is if you ever call your dog with a frustrated tone or scold them once they get to you. (I was so guilty of this with Hermes... like every time he ran out the door straight to the neighbor's compost pile. ick!) They need to know without a doubt that you will be happy when they get to you so try not to let them down. When strong-willed Hermes was dining at his private buffet, asking if he wanted a treat never worked because he knew that the treat was not going to top what he was chewing on at that time. The only thing that worked with him was bringing out the leash and asking if he wanted to go for a walk. He would then come to me so I could put the leash on him and I'd take him on his walk... (straight home, darn dog).
*Although I do not post things that I don't agree with (without saying so that is), I need to stress that I am not a dog trainer. Information that I give to you in posts like this one are a compilation of information from others in dog related industries as well as research from books I've read and the internet. My blog posts are designed to give you enough information so that you can research on your own when you think the subject might be something that you and your dog can benefit from. When it comes to training I highly recommend seeking out a dog trainer. You can learn a lot about your dog while they in turn learn great skills. It will be a wonderful bonding experience for the two of you, too. ;O)