Lion is a multi-gigabyte download, coming in around 4 GB, but when you start there is no onscreen indication of how it's going aside from the tiny progress bar in the Dock. Where's the little graph like the one you get in Safari when you are downloading software in the Mac App Store? Well, the solution is available, but not particularly .
Once your download starts, bring the Mac App Store window front and center. You'll see an icon called 'purchases', so click on it and you'll get the progress bar and a time estimate of how long the download will take. You can also go up to the menu bar, and under 'Store' you'll find 'check for unfinished downloads' which will give you the same information. It's a bit surprising that the progress bar just doesn't appear when a download starts, but you can still get the information if you know where to look.
Happy informed downloading.