Apple has finally released its OS X Lion USB thumb drive, available now at its online store. If you want an alternative to the Mac App Store download file which deletes itself after each install, this usb stick might be the correct answer for you. 

The only catch is that the usb stick sells for US$ 69, when you can download the OS for just US$ 29 from the App store. These are only currently available in the US, so you will either need to wait several weeks, or find alternate ways to get them to your doorstep.