When you first turn the new computer on, a screen should pop up asking if you want to transfer information from another computer.
Description of process below:
New Mac setup, simplified.
Migration Assistant simplifies the process of moving your information from a Mac or Windows computer to another Mac by transferring documents, music, photos, applications, network settings, and preferences. Simply connect the two Mac computers using a FireWire or Ethernet cable. If you use Time Machine, you can transfer files from your backup copies by connecting your Time Machine backup drive via USB or wirelessly using Time Capsule. And transferring files from a Windows computer to a Mac is just as easy.
Barry is exactly right, please read the Lion Setup Assistant tips for more detailed instructions. My recommendation would be to connect via Firewire 800 cable, this will be the fastest and safest connection.