(Please note that the recommendations below are largely made for in-game play. A Lucario in a competitive environment will likely make use of different moves to accommodate for smarter, more adaptive opponents. Got some alternative move sets? Lay 'em out in the comments, folks.)
One of the most popular pokémon in the whole of the Pokedex, Lucario is one tough hombre. Earning its stripes as one of the Champion's strongest team members in Generation Four, Lucario is blessed with a combination of good stats and some very strong move options. It is a sweeper to the end, and with minimal effort can easily become one of the best pokémon on your team.
Type: Fighting / Steel
Lucario begins life as Riolu. Build up your Riolu's friendship sufficiently (usually by travelling with it, letting it battle, not getting it knocked out, etc.) and it will eventually, when leveled during the daytime, evolve into a Lucario.
Bug, Dark, Dragon, Grass, Ice, Normal, Rock, Steel. Immune to Poison.
Fighting, Fire, Ground.
Lucario's fame is well-earned, as it's quite a potent pokémon. Though its HP and both defenses could use some work, its Attack and Special Attack stats are through the roof. Couple this with a great (though not top tier) Speed stat and you've got a hardy battler on your hands. This is especially true if you evolve Lucario into a Mega Lucario, which will make its Attack and Special Attack stats insane, as well as raising Speed into a much weightier category.
Steadfast: If your pokémon flinches, its Speed stat is raised for the rest of the battle. Decent, I suppose, but flinching is rare enough that Steadfast won't play a role in most battles. Skip it.
Inner Focus: Prevents flinching. Again, flinching doesn't play much of a role, but you're better off not being flinched than to gain something from losing your turn. Not a great ability, but it's better than Steadfast.
Justified: The pokemon's Attack stat is raised each time it's hit by a dark-type move. Though I like the idea behind Justified, no trainer with even half a brain will use a dark-type move on a Lucario. This is a hidden ability.
Adaptability: Available only to Mega Lucario, Adaptability increases STAB damage from 1.5x to double. This is Lucario's only standout Ability, and it makes Mega Lucario a ridiculous damage-dealer.
Lucario is your standard sweeper, particularly if you plan on changing it into Mega Lucario regularly (you should), so you can give it virtually any attacking moves you like. Aura Sphere and Close Combat are both fantastic STAB moves (though don't use both), Flash Cannon is good for killing off fairy-types, Dragon Pulse is a nice dragon-type killer, Earthquake has a place in every team, ExtremeSpeed will all but ensure that you'll go first, and Return is a nice neutral plus so long as you're not facing rock- or steel-types. It's difficult to go wrong with Lucario's attacking options, so long as you optimize damage and don't overlap your move types. Attack and Special Attack are almost equal, so feel free to jump all over the place (unless you decide to specialize in one category or the other while EV training).
It's also wise to give Lucario at least one support move that will allow it to sweep effectively. A single dose of Swords Dance will allow Lucario to wipe out virtually anything in one hit, STAB or no STAB, while Calm Mind is a good way to boost offense and defense simultaneously. I also like using Roar to screw up the enemy lines, but you'll probably have to forego a stat-boosting move as a result.
EV / Super Training
Lucario's survivability isn't that great, so you should focus more on its killing capabilities. Speed is a great first choice for training, as Lucario should be more than capable of outrunning anything when it transforms into Mega Lucario. After that, take a look at your desired moveset and see which offensive stat (Attack or Special Attack) crops up more often. Dedicate the bulk of your EVs to training that stat. Attack gets a bit more use on Lucario, but there are plenty of Special Attack moves in Lucario's move pool which can really surprise your foes.
Catching a Lucario
Lucario's much easier to get in this generation. Its younger form, Riolu appears rarely on Route 22, available before you even compete in your first gym challenge. Catch and raise it with friendship in mind to quickly earn yourself a Lucario. Alternatively, perhaps even preferably, you can wait until your third battle with Korrina in Shalour City. After she teaches you about Mega Evolutions, she'll give you a Lucario - and it will have Lucarionite attached, to boot.