The down command is important for several reasons. First, just like the sit command, it's incompatible with certain unwanted behaviors. A dog can't jump up and surf counters while he's lying down. By teaching him to lie down on command, you have a tool to manage several common behavior problems. It also promotes relaxation for excited dogs.
Lie down serves as the building block for a number of other behaviors. For instance, before you can train a dog to roll over or go to his place, he needs to know how to lie down.