Is it possible to burn a DVD out of the Lion app store install?
Yes!

After you purchase and download Lion from the App Store, the "Install" screen will appear:



Before you click Continue, open your Applications folder and look for the icon labelled Install Mac OS X Lion:



If you missed this chance (and the App is deleted from your system), you can always re-download the package using the App Store app. Even if it shows Lion Installed, you can hold the option key pressed, then press the button to re-download the Lion installer app.

Right-click (or Ctrl+Click) on this and choose Show Package Contents. Navigate to Contents > SharedSupport and look for InstallESD.dmg.



Use Disk Utility (in the Utilities folder inside the Applications folder) to burn InstallESD.dmg to a DVD. Drag the InstallESD.dmg file to the Disk Utility window, select it, then choose Burn... from the Images menu.

A dialog appears allowing you to burn it to a DVD. The name of the DVD doesn't really matter, but I named mine Mac OS X Lion.