As suggested above, that is the best route to Lion from Leopard.
As of now, Lion is available via Mac App store download only. The Mac App store application has been upgraded in Snow Leopard 10.6.8 so that it can download the Lion OS correctly.
This is the reason you would need to first go from Leopard to Snow Leapord which is 10.6 and then using software update, you will need to update to 10.6.8. And then download Lion or wait till August to get the USB drive.
As others have mentioned, the official way is to upgrade to Snow Leopard 10.6.6 or later, then upgrade to Lion via the App store or the USB Lion.
This article details how you can upgrade from Leopard directly to Lion: http://www.macworld.com/article/161087/2011/07/install_lion_over_leopard.html
Lion 10.7 System Requirements
• Mac computer with an Intel Core 2 Duo, Core i3, Core i5, Core i7, or Xeon processor (most models released since late 2006 - early Intel-based Macs with Core Solo or Core Duo processors aren't compatible)
• 2GB of memory (recommend at least 4GB -- and ideally even more, as you'll see benefits in many computing tasks)
• OS X v10.6.6 or later (v10.6.8 recommended) for Lion download from Apple App Store; or Leopard 10.5.x if using Lion on USB drive
• 7GB of available space (10GB recommended)
If your Mac processor doesn't meet the requirements or you have less than 2GB RAM, you can't install Lion.
I have been attempting to upgrade from Leopard 10.5.8 to Snow Leopard 10.6 as the step towards upgarding to Lion, but when the 10.6 installation is complete the version is still 10.5.8. I did not notice this initially but only after running a software update to get to 10.6.8 which didn't materialise due to still being 10.5.8. Any ideas?