What happens if the Internet connection goes down during a Lion Internet Recovery?
For a short interruption, you can expect the download to resume. I might choose to power it off and start over since you might end up with a corrupt package that the OS will not install and a cryptic error message. Worse, the install may stall and you could wait a long time before giving up.

It's in your interest to get the installation over a fast internet connection (perhaps a local Apple Store) so that you don't have to do it over or wait so long in the end.