Apple has decided that the latest release of their OS, Mac OS X Lion (10.7), is no longer available as an install media. New systems have a recovery partition (called a Recovery HD) with the installation files, and those with earlier versions of the OS (Leopard and Snow Leopard) have to buy it via the App Store as a download.
The last scenario is in fact a hassle if you ever want to reinstall your Mac: prior to installing Lion, you have to install Snow Leopard, then all the updates, before finally downloading Lion. It would be so much easier if one could just install Lion from scratch.
Luckily, there's a way to create an install DVD yourself very easily: the install image is available inside the Lion download from App Store. It's just a matter of finding it, then burning it to a DVD or USB stick.
When still running Snow Leopard, purchase Lion from the App Store, and let it download. Do not yet run the installer! It will be downloaded to the Applications list and will be available in the Dock as well.
Alternate-click (right-click or ctrl-click) the installer and choose Show Package Contents from the menu. A Finder window opens with several folders.
Look for a big file called installESD.dmg in the folder SharedSupport. Copy it onto your desktop (or another location).
Start Disk Utility and burn the image (installESD.dmg) to a DVD. That's it: you have your very own installation DVD of Lion.
The instructions above apply here as well, accept that the installation image can be retrieved from the recovery partition on your harddisk. To get to it, you first have to mount the partition, then copy installESD.dmg to your desktop (or somewhere else), and burn that image on a DVD (using Disk Utility).