No, you can install Lion directly if you want. This will save you a lot of time, as you would otherwise have to upgrade from Leopard to Snow Leopard first, only to upgrade to Lion afterwards.
Buy a bootable OS X Lion USB stick
You can buy a bootable OS X Lion USB Thumb Drive from the Apple Store: http://store.apple.com/us/product/MD256Z/A

Create a bootable OS X Lion USB stick or DVD based on the Mac App Store download
- Buy and download Lion from the Mac App Store. The installer should show up in your
Applications folder.
- Right-click on the installer and hit “Show Package Contents”. Navigate to
Contents/SharedSupport and look for a file called InstallESD.dmg.
- Open up Disk Utility and drag the DMG file into the left-hand sidebar. If you’re burning it to a DVD, insert your DVD, select the disk image in the sidebar, and hit the “Burn” button. Skip down to the last step to use it.
- If you want to burn Lion to a USB flash drive, plug it in and click on it in the left-hand sidebar in Disk Utility. Go to the Partition tab and select “1 Partition” from the dropdown menu. Choose “Mac OS Extended (Journaled)” on the left.
- Hit the “Options” button under the partition table and choose “GUID Partition Table”. You’ll need this to make the drive bootable on a Mac. Hit the “Apply” button when you’re done to format your drive (note: it will erase everything on the drive).
Click on the “Restore” tab, choose the InstallESD.dmg file as the source and your flash drive as the destination. Hit the “Apply” button and it will create your bootable USB drive.

Reboot into OS X and hold the option key when you hear the startup chime. You can boot into your DVD or flash drive from there.