1. The first is simply where the golf ball sits. A golfer's lie is the location of the ball at rest. In this usage, the term typically refers to the quality of the ball's position; i.e., "do you have a good lie or bad lie?" or "how is your lie?" Meaning, is the ball sitting on top of healthy fairway grass? (good lie); or, the opposite, has the ball sunk down into some think rough (a terrible lie)?
2. Meaning No. 2 of "lie" refers to the number of strokes it took the golf ball to get to where it now sits. For example, "what do you lie?" is a questions that means, "how many strokes have you used to reach this point?" "I'm lying 3" means "I've used three strokes in advancing the ball to this point."
3. And "lie" is also shorthand for "lie angle," which refers to the angle of the shaft relative to the sole. For best results, the lie angle of a golfer's clubs should match the type of swing he has; depending on the type of swing, a golfer could benefit from a higher lie angle or a lower lie angle. In this context, "lie" is typically used when talking about making the lie angle more or less: "I changed the lie of my irons"; "customization options include loft and lie." See lie angle for more on this.