Burn OS X Lion Installation Package to DVD
The moment you download OS X Lion, you'd better have a copy of OS X Snow Leopard, because by default the new Apple OS can only be installed on a previous installed Operating System (upgrade). So if you need to reinstall your Mac in the future, you need to install OS X Snow Leopard first, and then upgrade to OS X Lion. Also, there's no way of ordering an OS X Lion copy on DVD..... Well, that sucks.
Fortunately, there's a way of creating the installation DVD by extracting the actual disk image from the downloaded OS X Lion installation package.