Where is the Mac OS X Lion that I purchased?

• Update OS X Snow Leopard to 10.6.6 or later such that it has a Mac App Store.
• Open the "App Store" application
• Connect with the same account (Apple ID) that you used to purchase Lion
• Click on the "Purchased" button on the top bar (picture 1, between Categories and Updates)
• Find "OS X Lion" in the list (picture 2)
• Click on the "Download" button

Et voilà!

Correct me of I'm wrong but if you open the App Store in Snow Leopard, and log in with the AppleID that you purchased Lion with and look at the purchase history from the toolbar at the top, you should be able to see Lion and download it again. This works for me.