If you are running the native install of PHP the is shipped with Lion, use the following to install Memcache.
brew install libmemcached
mkdir -p ~/Library/LaunchAgents
cp /usr/local/Cellar/memcached/1.4.13/homebrew.mxcl.memcached.plist ~/Library/LaunchAgents/
launchctl load -w ~/Library/LaunchAgents/homebrew.mxcl.memcached.plist
sudo pecl install memcache