As a Scottish person, I set the table and have definitely never said "lay the table", which I have always thought of as English, particulary Southern English, usage. I like this quote from the Weekly Scotsman newspaper from 1950, although it explains little: "It seems more satisfactory to set the table than to lay the table."
(Quoted under part of the entry for "SET" in the Dictionary of the Scots Language:
To set (2) To lay (a table) for a meal; to lay (a meal) on the table. Gen.Sc. and in Eng. dial. Ppl.adj. set, of a meal: formally laid out, as opposed to being informally handed round. Obs. in Eng.
http://www.dsl.ac.uk/getent4.php?plen=81694&startset=3552048... )
Another quote I like, from Her Majesty's Inspector of Schools minutes from 1855-6: "Many of the girls would be sorely puzzled when asked to lay the table-cloth, and set the dinner or breakfast things on the table in a neat and proper manner;"
Also: "There is no obvious reason for the remarkable division of England between the northern and eastern area where set is preferred and that in the south and west where the preference is for the more standard word lay" (An Atlas of English Dialects)