As you maybe have heard Mac OS X Lion will be available only via the App Store. Many people asked how they can perform a complete new installation if you only have access via the App Store to the latest version of there os. First install Mac OS X 10.6 and then upgrade? This would be a bad idea ... first you need to upgrade to the last version of 10.6 and then you would be able to access the Lion installer via the App Store.
No you don't need to install 10.6 each time you want to reinstall you os. It's still possible to burn a full featured Mac OS X install dvd.
Thanks to the guys from yourdailymac for this nice tutorial
The short version:
Open the installation file with right click (cmd + click) -> Show Package Contents and then burn the image named: InstallESD.dmg to a DVD.
That's everything you need to do to get a fully functional Mac OS Lion installation DVD.