Apple giveth, and Apple taketh away. And in Lion, Apple hath taken out faxing.
Apple has never been afraid to abandon technologies that strike it as obsolete, and faxing is no different. Heck, Lion can’t even fax if you own one of Apple’s own USB fax modems.
If you still need to fax, you have a couple of options. First, you can sign up for a service like eFax or Faxaway, which let you send and receive faxes online. Second, you’re welcome to buy a non-Apple fax modem, some of which work fine in Lion. Whatever you buy comes with its own software and instructions.