With Lion and now Mountain Lion, after purchasing the OS from the App store, the first step is downloading an installer app. This installer app, which can be found in your Applications folder, is a powerful and useful tool. Before allowing it to complete the install of the newly updated version of the OS, you should copy that item to an external HD or USB memory stick as this will allow you to make a portable install device for future installs.
The installer app, like all applications, is a package. If you should right-click (or control-click) on the Install Application icon you can choose from the contextual menu to Show Package Contents. In the new Finder window that opens there will be a single folder labeled Contents that all of the goodies are inside of. The most important folder inside Contents will be SharedSupport. Should you open the SharedSupport folder and drag the InstallESD disk image to the left hand column in the application Disk Utility, you will then be able to burn the installer to a disk: a DVD for Lion or a Dual-Layer DVD for Mountain Lion. You can also use the Disk Utility and an adequately sized USB memory stick to create a bootable install device.
There are other things that you can do with the InstallESD disk image. By double clicking the .dmg file you can mount the disk image and be able to access its contents through the finder. When the Disk Image mounts you will be presented with the structure of the bootable OS installer, Library, System and, amongst other things, Packages. The Packages folder contains the installers packages for the individual installers for the System, Language Support and applications such as Safari.
Why is this important? After completing migration from a failing Macbook Pro to a new machine this week, the unit was returned because of a failure of a single application. Instead of installing the entire OS again on the unit, the solution was to install the single application from the installer package found inside the InstallESD disk image.