Didn't everybody make a lanyard at one time or another?
I certainly did (or tried) repeatedly to make the perfect lanyard. Even bought a whistle. And, maybe it's a little like riding a bike -- after all these years, I recently bought some of the tape (apparently the official name is "gimp"...) and gave it a try. You can see the difference between the "colors together" and "colors opposite" starting arrangements in the box and  barrel stitches and round braid examples in the picture. 
The square or "box" stitch was the first one we learned and taught, and it was really simple. I learned the "barrel" stitch only this year, from the descriptions you see below. The small round braid was easy.
But: I never really learned how to end the thing! Some people returned to the square or barrel braid around the round braid, and made an adjustable lanyard that way (or, a noose!). I once saw at Cliffside a wonderful all-white lanyard, with the small round braid expertly and neatly spliced into the other end of the small braid at the top of the square section, but I never could do that. Of course, I never could splice rope, either...
Anyway, thanks to  craftycollege.com and http://www.seekyee.com/Slings/howtos/4strand.htm and othersI found most of the instructions needed, and collected them below. Someday I will try again for the perfect lanyard. 
Click below for the instructions!
The Lanyard
Round Braid
Barrel Stitch
Square Stitch