Lion, Mountain Lion, and Mavericks (10.7, 10.8, and 10.9 respectively) do not come on a physical CD or DVD. They are downloaded and installed through the Mac App Store.
After installing 10.7 or later, a 'hidden' partition is created on your computer that serves the same function as the physical discs did in earlier versions of OS X (10.6 and earlier), giving you access to Disk Utility, Install OS X, Get Help Online, and other functions that previously were accessed from a physical disc.
If for some reason the hard drive is damaged or the Recovery Partition is otherwise inaccessible, you can access the same utilities over the internet using Internet Recovery.
One can, however, create a bootable flash drive as a physical backup of your Recovery Partition using Recovery Disk Assistant.
All the information on how to access Recovery Partition, Internet Recovery, and Recovery Disk Assistant are available from the following articles:
OS X: About OS X RecoveryOS X Recovery Disk Assistant v1.0
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