OS X Lion removes the need for any kind of media for the installation. That’s nice, because there’s no disk for you to lose!
However, if something terrible happens to your computer, you’ll end up installing Snow Leopard, then upgrading to Lion once again. Thankfully, Apple has made a utility that allows us to easily and painlessly create a bootable USB Lion Recovery Disk. Unfortunately, you must have either the MacBook Air or Mac Mini Mid 2011 for this to work. This is because those are (currently) the only computers with the Lion Recovery Partition.
Click here to download the Recovery Disk Assistant from Apple. Once downloaded, open the Disk Image and launch the Application.
Now would be a good time to plug in a USB disk. Plug it in and continue through the installation. There’s nothing for you to configure, so this is extremely straightforward.
If your computer stops booting, or you get a new hard drive, it’s time to use this disk. Plug it in to a slot on your computer, then boot holding the alt/option key. In the menu that appears, select the recovery disk. Now you can download and install Lion right back on to your computer!