I agree with what everyone else has said thus far. You need to make sure that your dog understands what you want him to do. When you say, "Sit" your dog needs to understand that the word sit equals the action of sitting. He doesn't know English, or any other human language for that matter, so it is up to you to show him what the word means. You could teach your dog to sit by saying, "Cumquat" if you wanted to. He wouldn't know the difference.
You must also be aware of the tone of your voice. A deeper growly voice from your norm is what you use for corrections. A normal, commanding voice is what you use for the command, and a higher voice from your norm is what you use for praise. Never ask a dog to do anything. You tell the dog, you never ask. You don't say, "Rover, sit? Please?" You command, "Rover, sit."
I'd also like to say do not EVER scold, correct, or punish your dog for not doing something when he doesn't know what he is supposed to do. If you are teaching your dog to sit and you tell him, "Sit" but he looks at you blankly and you correct him, that is teaching your dog nothing. You have to show him what you want.
Never repeat your command over and over. When you are teaching the command, you say it while the action is being preformed. After a while, you say it before the action. If you tell him to do something and he doesn't (depending on what stage of training he is in) either wait ten seconds and then try again, or make him do it. If you are first taking that leap from luring the dog to just commanding, wait ten seconds. If your dog has master the command like a pro and then when you tell him gives you a blank face, make him do it. Never give a command that you can't reinforce. That will just teach your dog that he only has to listen to you some of the time.
Also, remember that dogs tend to follow hand signels more than voice commands. If you use both at the same time it really helps.
Never use the same command for different things. If "Down" means get off of the couch, then it can't mean "lay down on the ground". Also be consistent with your commands. If you let your dog on the bed Tuesday, you can't not let him on the bed Thursday. If you let your dog jump on you when you are wearing your painting clothes, he won't understand why you won't let him jump on you when he is muddy and you are going to an important business meeting all dressed up. If you give him table scraps, he will beg.
Oh, yes, and ALWAYS end on a good note. If you are getting frusterated teaching a command, stop the training session. You will just be getting grumpy with your dog and he wont' be having any fun at all. When I was teaching Sadie to rollover, she wasn't quite getting it. I kept the attitude positive (I think I was laughing more than anything because she was just too darned cute) and I ended the training session with her sitting and shaking, because she is very good at both of those and I could praise her and give her a small treat for completing the easy tasks after she has been trying to learn a "hard" one. She had fun and so did I.
I would reccomend going to a training class that uses positive techniques or picking out a good training book. I like "An idiots guide to Positive Dog training" and "Good dogs, Great Owners."
Here is how I trained my dogs to do basic commands:
Sit: I took a small treat (a piece of a treat the size of a cheerio) and held it in my hand above and in front of the dogs muzzle. You can let the dog nibble on it if you want to. You move your hand forward so it is going over the dog (while he is still nibbling it). As the treat moves, the dogs hind end should go down in a sit so the dog can keep nibbling the treat. When he starts the motion of sitting, say, "Sit". When he is sitting, give him the treat and priase him with a "Gooooood Sit!!!" Do this a couple of times and when he seems to be catching on, just use the hand without a treat. When he sits, give him a treat withen two seconds and praise him. "Goooood Sit!" You can eventually phase out the hand movement alltogether. My dogs now sit on command, by me pointing my finger at the ground, or by me tapping their butt with my hand.
Down: You first have the dog sit. Then, you take a piece of a treat and let the dog nibble on it. Slowly move the treat away and down from the dog. His nose should follow the treat and he will be laying down. As he is laying down, say "down", or whatever command you want to use, and when he is down, praise him "Goooood down!" and give him the treat. Just as with the sit, you can eventually get rid of the treat and hand motion all together. My dogs now down on command, me tapping the ground, or my moving my plam toward the ground. Once he has mastered this command, you can tell him to down from a standing posistion. Lure him if need be.
After you have those basics mastered, you can proceed to teach your dog other things. My dogs know Sit, Down, Stay, Stand, Rollover, Shake, Crawl, Heel, Bi-Heel, Fetch, Thank you, Take it, High five, Come, Wait, Find it, and Touch (which is when they use their noses to tap my hand).
If you'd like to know how to train your Chi to stay, rollover, etc., just ask!
How Do I train my Chihuahua? 
what do I do?
Can anyone help me train my wittle cutie?
Sit, down, rollover 
