Ah, I figured it out.
I didn't see it on the list of things to synch on the MobileMe preferences (and couldn't find anything on the calendar preferences) but then later noticed there was a mails and calendar preferences.
So now it synchs up.
And I gotta say, I gotta agree with people, the calendar is butt ugly!
And the contacts book while I don't mind how it looks is more annoying to flip though (the old interface was quicker to find who you wanted...).
Overall so far I'm happy with Lion (I even like auto correct unlike a lot of people) but I really gotta agree they messed up the calendar and contacts (the easy to add appointment thing is nice though).