Start Utilities > Migration Assistant. Followiing the instructions, you will want to trasfer by connecting the two Macs or via a network to which they both belong. I have never used Migration Assistant for migrating to a newly purchased Mac--so I am not sure if you will have unforseen (by me) problems. Migration assistant will tell you how to connect the two Macs and, alternatively, how to use the network. You also might search on using Migration Assistant, particularly in the context of a new Mac. Be aware that some of the programs you have been using may not be Lion compatible.
Use Setup Assitant instead.
That way, EVERYTHING will be transfered, settings, accounts, data applications...everything will be seamless.
I've used both, and Setup Assistant is vastly superior to Migration Assistant, when the two computers are both Macs running recent editions of OS X.
In fact, I used Setup Assistant just a week and half ago on my new 2011 MBA, from my old 2010 MBP, and it worked fantastically.
Have a Time Machine backup on an external drive from the old computer handy, as it is the best way.
If you have already used the new computer, you may have obviated the ability to use Setup Assitant.
From the article...
Setup Assistant is designed to transfer all or selected data, apps, etc. from one Mac, its Time Machine or "clone" backups, or a PC to set up a new Mac just like the old one.
Migration Assistant, however, is used primarily to transfer user account(s) and perhaps other things, from one Mac, its backups, or a PC, adding them to a Mac that's already set up.