The disounance between the tablet and the screen is one of the biggest things to overcome. There are ways to minimise it, you could try and buy a tablet which is a similar size to your monitor, or isolate your tablets mapping to a certain area of the monitor.
The lag can be caused by a lot of things really, dodgy drivers, to large a brush/file size or your system can't keep up with what you're putting onto the canvas.
It's just one of those things that you eventually get used to, my advice would be to get a tablet that you're really comfortable with.
I didn't like drawing a 2 inch line on my tablet and have it turn out a lot larger on my canvas so I took the dive and bought a Cintiq for 1:1 mapping.
Keep practising