Lau is a rampaging offensive machine in VF5. He's all about pressure and keeping the opponent on their toes. He's got plenty of combos (both of the canned and improv variety) and a moveset that, while a bit tougher than Jacky's, is still fairly easy to pick up. If you want to practice really putting the heat on the enemy with repeated attacks and punishing their mistakes, Lau's the man to go to.
Back, Forward + Punch (B, F+P)
Blocked an opponent's attack? Here's a killer retaliatory move. It strikes fast and sends the enemy sprawling to the ground, leaving them wide open for additional combo hits. It's also got decent range to smack down pokers and evaders with. You should also try doing this move after backdashing away from an opponent's strike.
Down-forward + Punch + Kick (DF+P+K)
This is a move that is a fantastic combo opener and can be used in similar situations as B, F+P. Hit with this and then go for some of Lau's strings. Be careful, though, as Lau is very vulnerable if this winds up getting blocked.
Down (hold), Down-forward + Punch (D (hold), DF+P)
One of Lau's best skills, this is a rising palm strike that can be performed from a crouch. On counterhit, this skill sends your opponent flying into the air, practically begging for additional combo beatdowns. Try using this after you've blocked a low strike, or when your opponent's high attacks are whiffing over your crouching head. For more, immediately follow it up with P, P+K+G and you'll go into...
Several characters in VF5 have special stances they can enter into at certain times. There are several skills that are only available when a character is in a certain stance, making them incredibly useful in certain situations. Lau's special stance, called "Kokei", is a good place to start learning about the ins and outs of stances. From Kokei, try doing strings like P,P,P+K and B+P,P,P, as well as single moves like P+K and F+P+K and see how they work. F+P+K in particular has a special property that will both break the guard of blocking opponents and stagger enemies who leave themselves open.
Take it to the next level
There are several other skills that can lead into the Kokai stance. Try hitting P+K+G immediately after performing P, K or F+P, P or DF,DF+P, P or DF+K, P and B+P+K, P. Learning to incorporate stance into your game at the proper times can really help give you the upper hand. Plus, it just looks really freakin' cool.