Is there an application like Connectify for Mac OS X Lion?
You don't need to use a separate application. You can share wi-fi without any app. Go to System Preferences>Sharing>Internet Sharing:


You will be prompted to enter a network name and a password (if you choose to).
It does also require you to have a hard-wired Internet connection.
(If you are wondering why my sharing checkbox is greyed out, it's because I don't have a hard-wired connection)

You can also click on the Airport icon in the menu bar and then click "Create Network..."