Hello, As far as I know TeXLive is the TeX distribution most up-to-date, and some may prefer it to the MikTeX that comes with LyX by default. I wrote some generic instructions on installing LyX using the Alternative Installer, with TeXLive running "live". Please check the Wiki [1].
[1] http://wiki.lyx.org/Glossary/TeXLive Liviu
