If your Mac came with Lion preinstalled, you should be able to download it again at any time directly from the Mac App Store. The app has an embedded "dmg" image that can be burnt to a DVD. Here are the steps:
1) Hold down the option key while launching the Mac App Store, select the "purchased" tab, and and then download the Lion installer app.
2) Right-click on the installer app, and hit "Show Package Contents". Navigate to Contents > SharedSupport and look for a file called "InstallESD.dmg".
3) Open up Disk Utility and drag the DMG file into the left-hand sidebar. Insert a DVD, select the disk image in the sidebar, and hit the "Burn" button.
References:
http://osxdaily.com/2011/08/02/re-download-mac-os-x-lion-from-app-store/
http://lifehacker.com/5823096/how-to-burn-your-own-lion-install-dvd-or-flash-drive