If you have concerns about Lion being download-only, you shouldn’t.Apple has designed a system called “Internet Recovery” that will download and install OS X Lion even if your hard drive fails or somehow gets wiped. From Apple’s site:
[Internet Recovery] downloads and starts Lion Recovery directly from Apple servers over a broadband Internet connection. And your Mac has access to the same Lion Recovery features online. Internet Recovery is built into every newly-released Mac starting with the Mac Mini and MacBook Air.
If you’re absolutely paranoid and want a hard copy of Lion, Apple will sell it to you on a USB drive for $70.