hberrie, it can be stressful for a horse when it is asked too soon (regarding the level of trust), because he can associate it with predatory behavior and being forced to lay down (even if just psychologically) = becoming open for attack. Laying down is generally not a trick, it is a demonstration of ultimate trust, and it calls for good horse sense and timing to know, when a horse is really ready. I wouldn't advise it as something to "teach just for fun". And it really shouldn't be done through disbalancing the horse (although it surely can be done and may appear to be easy), but by working on it when the horse feels like lying down himself. Also, as Sky mentioned, it can be hard on joints and back, and shouldn't be done with very young/old horses or horses with sceletal/muscular problems.
I have come a long way, to surrender my shadow to the shadow of my horse.