Mac OS uses a temporary storage area used for downloading apps before installing.  Apple made it very easy to find in Snow Leopard:

~/Library/Application Support/AppStore

Where ~ is your home directory.

However on Lion (and Mountain Lion) it decided to get creative, so trying to find the temporary files is a little trickier.  This is how I found the temporary storage for a download of iPhoto:

vger.local:~(84)+>- date ; sudo find /var/folders -name \*.pkg -mtime -1 -ls
Sat 22 Sep 2012 21:12:02 IST
6021879 50368 -rw-r--r-- 1 pkearns staff 25788416 22 Sep 21:12 /var/folders/n8/fcgpxxl55dgdwz6fphbd5f_40000gn/C/com.apple.appstore/408981381/mzm.ivjumeji.pkg
vger.local:~(85)+>- sudo ls -l /var/folders/n8/fcgpxxl55dgdwz6fphbd5f_40000gn/C/com.apple.appstore/408981381/
total 57368
-rw-r--r-- 1 pkearns staff 410345 22 Sep 16:00 flyingIcon
-rw-r--r-- 1 pkearns staff 28934144 22 Sep 21:12 mzm.ivjumeji.pkg
-rw-r--r-- 1 pkearns staff 13466 22 Sep 15:59 preflight.pfpkg
-rw-r--r-- 1 pkearns staff 4642 22 Sep 15:59 receipt
vger.local:~(86)+>-

It will be there only during the download.