Lion does not come on optical media. You can hold down command-R at startup to enter recovery mode, which boots from a hidden partition on your hard drive. If your Mac is new enough, you can (and perhaps already have) install a firmware update that allows it to boot into internet recovery if the hard drive dies or the recovery partition becomes damaged.
If you really want a full, local installer that you can put on a flash drive (better option than optical media), snag a copy of the Lion installer (from the Applications folder) before installing it. If you have already installed it, it self-deletes, so you'll need to hold down option while clicking Purchases in the App Store and re-download it. Once it downloads, quit the installer (if necessary), then follow these directions:
Note that you'll need an 8 GB flash drive... I tried this with a 4 GB flash drive and it was just slightly too big to fit.