Lau made his film debut in 1986 and since then has been cast in numerous roles. His critically acclaimed roles include acting opposite Anita Yuen as a down-and-out musician in C'est la vie, mon chéri (1993) and in a number of cop thrillers, such as Big Bullet (1996), Full Alert (1997), The Longest Nite (1998), Running out of Time (1999), Running Out of Time 2 (2001) and Mad Detective (2007). He is considered one of Hong Kong's most versatile actors, known for his comedic roles as well, such as in La Brassiere (2001) and Three of a Kind (2003).