Or what if you decide to run Windows in a Boot Camp partition after you've had Lion going for a year or two? Chances are to make room for Windows you'll have to either defrag your hard drive (good luck with that on a Mac), or tinker with Disk Utility, or take the easy way out and just reinstall OS X. Without a Lion disc that probably means a double OS installation for you.
If you want to run Windows using Boot Camp you need specific drivers from Apple before Microsoft's OS will work properly on a Mac. Most of the time you get those drivers through your OS X installation disc, although you can also get them from Apple as a download via Boot Camp Assistant.
But if you have problems downloading Apple's Windows drivers -- as I did when I tested the system this morning -- I guess you're out of luck, unless you have an OS X installation disc.
Look to Linux
If Apple really does seed OS X Lion as a download in the Mac App Store, I hope the company will offer the capability to burn a disc image the way Linux distributions do such as Ubuntu and openSUSE. That way you get the best of both worlds: an OS X Lion download and a physical copy of the OS as a safeguard.
The downside to that approach is you'll have to use Disk Utility to burn your disc, which might scare off the average user. Then again, Apple could create a simple wizard that burns the disc for you and all you have to do is insert the blank storage media when prompted. Maybe that's not as painless as a simple download, but a major OS X upgrade via the Mac App Store could give Apple the lion's share of tech headaches this summer.