Playing with a dog is a pretty natural for most people, but if you are new to pets or afraid of dogs, you might be looking for some tips.

[edit] Steps

Consider the age of the dog. Puppies (which, depending on the breed, can be up to 2 years old) will often be rambunctious and enjoy roughhousing.
Play fetch. Some breeds of dogs generally enjoy fetching more than others. Find an open space and throw a tennis ball or a frisbee, and hope that Rover will bring it back. (Be attentive to puppies who may be in their "chewing phase" because they can end up tearing the fuzz off a tennis ball or chew plastic frisbees and end up swallowing materials that could be harmful to them. If your dog starts this, change to a different toy to throw.) Insist that the dog drop the object at your feet before picking it up to throw again. If your dog does not drop it, one option is to bring two fetch toys. Throw the second one to get the first one.
Play tug-of-war with your dog. Don't be scared of some growling, as long as the dog's tail is wagging. It is a common misconception that one should never let the dog "win" a tug. Whether or not to allow the dog to win is dependent on the temperament of the dog. Some dogs are confident and spirited and do not need much encouragement from their owners. These dogs should not be allowed to win, as winning the tug is a simple way of establishing the proper hierarchy. However, many pet dogs are submissive, anxious, and lacking in self-confidence. It is healthy, and recommended, to allow these dogs to win tugs. It helps boost their confidence and drive. Playing (and losing) tug-of-war with a low-drive dog is a common technique used by professional trainers to build a dog's self-worth. Just imagine how you'd feel if you were asked to play a game you always lose.
Blow children's soap bubbles for your dog. Many dogs love to chase the bubbles, jump and "catch" them in mid-air.
While playing with your dog should always be a group activity, keeping your dog stimulated and entertained when he is alone is also important. Some important things to keep in mind are:

Do not use household objects, such as old shoes, bungee cords, or belts as toys. A dog can't tell the difference between your 10 year old shoe and the one you bought yesterday. Also, most household objects can be torn into small pieces by a dog and eaten. They will eat things you would never have thought possible.
Limit the number of toys your dog has to a few favorites. Dogs don't require 10 different toys to stay interested and often focus on one or two. Having more toys often confuses dogs as to what is a toy and what is not a toy.
Heavy rubber toys such as the Kong brand are excellent for chewers. Putting treats or peanut butter inside them can really keep a dog occupied for hours.

[edit] Tips

Playing with your dog is the fun part of dog companionship, so enjoy it!
Your dog will enjoy it and it is a great form of aerobic exercise.
Never play "catch the dog" sorts of games. This can lead to a dog who is hard to retrieve when you need to go somewhere.
Now is a good time to train the dog a 'drop' command. When the dog drops the toy near you, say "Drop it," then praise the dog. Do this repeatedly until they understand that when you say drop it, they have to release whatever they have in their mouths. If you have a smaller dog that you're not too worried about, you can actually apply gentle pressure at the hinge of the jaw, or gently open the mouth when giving the "Drop it" command. Use their name before the command, so they know it's a command ("Rover, drop it"). Then give lots of praise.

[edit] Warnings

Make sure your dog is well-trained. Some dogs can be overly aggressive and don't realize their own strength. Do not allow anyone else - especially small children - to play with your dog until you're sure your dog knows not to bite or jump on people.

[edit] Related wikiHows

[edit] Sources and Citations

For a complete set of Tug-O-War rules to make sure that you and your dog are playing safely, visit http://www.amazingdogtrainingman.com/articles/tug1.htm