Adobe has posted a tech note, “Known Issues with Adobe products on Mac OS 10.7 Lion,” detailing incompatibilities discovered to date. The only Photoshop-specific issue noted is that droplets don’t work. Please see the document for other product details.
Update: Here’s the Creative Suite FAQ on the subject.
Update 2: I’ve seen mentions of “Licensing has stopped working” errors. These appeared in Snow Leopard as well. Please see this tech doc for details.