I started the day Jesse came home with us at 8 weeks old. Clicker training is ideal for this. Within a couple of days he did sit, down and back on cue... Keep training sessions short and fun and you'll have a puppy that can't wait to be trained in no time.
Likewise, I start training my puppies as soon as I get them. At 8 weeks I would start doing all the foundation work with them. There I some exercises I dont start for a while though, e.g. jumps as their bodies need to mature first (12-18 months).