Lag refers to a relationship whereby the successor activity cannot start right after the end of its predecessor. For example, after you’ve baked the cake, you might want to serve it cold. Therefore, before serving it to the guests you will need to put the cake into a fridge and wait for it to cool. This means that the activity “Serve Guests Cake” will not start right after its predecessor “Insert the Dish into the Oven”. There is a delay. This delay is called Lag.
Here’s another example. Take a look at the following Precedence Diagram and identify the activity that’ll most probably have a Lag. (Click image for a larger view.)

click to enlarge
If you identified the "Harden Foundation Cement" activity, then you are correct! Well done. There is a lag between "Lay Foundation" and "Harden Foundation Cement", because the latter activity would only start after the cement has matured. Only then can the construction workers start the "Harden Foundation Cement" activity.
Ensure you understand Leads and Lags before creating a schedule and for your PMP preparation.