Definition
When someone says, "That's a terrible lie" or "he has a perfect lie in the middle of the fairway", they are referring to how your golf ball is sitting on the turf and how hard or easy it will be to hit well. If your golf ball is sitting low in a bunch of thick grass, that would be a "bad lie". If your golf ball is sitting up perfectly in the middle of the fairway, that's a "good lie".
Usage
What a terrible lie, you got unlucky!