Time your commands, rewards and negative responses carefully. Teach the "Come" command when your puppy is behaving rather than in the midst of mischief, and reward him promptly when he complies. Once he knows what "Come" means, you can use this command to tear him away from bad behavior.
Repeat the training exercises only until your puppy gets it right, and then take a break for a little while. So after a few attempts to teach her to "Sit" reward her once she complies and then let her rest or play with you. Remember that like small children, puppies have very small attention spans.
Do short exercises in short intervals, rather than trying to teach a puppy an entire command like "Sit-Stay" in one lesson. Rome wasn't built in a day, and trying to get a puppy to master both sitting and staying put in one lesson is asking too much of him--and of you. You will lose patience and he'll disappoint. Instead, teach him "Sit" in one exercise and later on graduate to "Stay."
Keep talking, the whole time. Your puppy enjoys your praise as well as your coaching and will stick with the exercises in part just for the attention. Make sure a lot of what you are saying is positive reinforcement for trying to learn.
Know whether to touch your puppy or keep hands off her. Puppies younger than 12 weeks crave touching, so make sure your lessons involve lots of contact. Dogs older than this respond better when the lesson is pretty much contact-free--except at the very end of the exercise, when a pat is part of the treat reward.
How to Obedience Train a Puppy Provided by eHow.com