Ubuntu has Lynis in its own repository, but which version you get depends on which version of Ubuntu you have. The Ubuntu 16.04 LTS repository has a version that's fairly far behind what's current. The version in the Ubuntu 17.10 repository is newer, but still not completely up to date. In either case, the command to install Lynis is:
sudo apt install lynis
If you want the newest version for Ubuntu or if you want to use Lynis on operating systems that don't have it in their repositories, you can download it from the author's website.
The cool thing about this is that once you download it, you can use it on any Linux, Unix, or Unix-like operating system. (This even includes MacOS, which I just now confirmed by running it on my old Mac Pro that's running with macOS High Sierra.)
Since the executable file is nothing but a common shell script, there's no need to perform an actual installation. All you need to do is to extract the archive file, cd into the resultant directory, and run Lynis from there:
tar xzvf lynis-2.5.7.tar.gz
cd lynis
sudo ./lynis -h
The lynis -h command shows you the help screen, with all of the Lynis commands that you need to know.