Gladly this is actually now quite easy. (Now there is a also a tool available that does most of the work for you, at least if you run on Lion already, click here).

Prequirements:

• USB stick with => 4GB
• Mac OS Lion from the Appstore (Install Mac OS X Lion.app)

Step 1: Plug in your USB stick
Step 2: Open the Disk Utility 
Step 3: format  the USB stick with "Mac OS Extended (Journaled)"
Step 4: In Finder right click on "Install Mac OS X Lion.app", select "show package content"
Step 5: Open Contents -> SharedSupport, there you should find a file "InstallESD.dmg"
Step 6: Back to the Disk Utility, select your USB stick
Step 7: select "Restore" and drag in "InstallESD.dmg" from Finder

This will take some time, but that´s it. To boot from this USB stick, plug it in and while powering up your Mac press the ALT key to boot from it. Enjoy!