How do you change the behavior of the power button in Lion?
You can control whether pressing the power button should put your mac to sleep or present a dialog with options (sleep/restart/shut-down) using the pmset command. The following:

sudo pmset powerbutton 1


will put it to sleep right away (presumably your current setting) and changing 1 to 0 will present you with the dialog. 

Pay attention to the fact that it's not a per-user setting, and changes the behaviour for all users. Something to keep in mind if you share the device with others. From the man page (explore it for other options):


  All changes made through pmset are saved in a persistent preferences file (per-system, not per-user) at
       /Library/Preferences/SystemConfiguration/com.apple.PowerManagement.plist