I had the same problem up until yesterday on a new MacBook Pro running Lion. I tried the many possible solutions (removing keychain entries, moving the wireless network to the top of the preferred network list, etc...) that have been suggested on the web, but none of them seemed to work.
For whatever reason, the remedy for mine, was to remove the CD from the MacBook drive. After testing and retesting, I have had zero problems with losing my internet connection when manually putting the MacBook to sleep (closing the lid). Others reported similar problems/remedies with external HDDs.
Hope this helps...