Well, actually, the workspaces in Mission Control are the same as the Spaces from (Snow) Leopard. The biggest difference is that they are now one-dimensional.
But the important thing is that application bindings to spaces still works, even though the preferences to set them have been removed from System Preferences. If you already had this setup from 10.5/10.6, the settings should transfer over to Lion. Even so, you may want to modify them given the new behaviors.
Here is a small guide on how to set this up. I'm sure there are commands that could make this easier, and I hope that commenters will supply them. Actually, my real hope is that someone will code up a GUI for doing this.
The settings are in the file ~/Library/Preferences/com.apple.dock.plist. You're going to want to open this in a good text editor, like TextWrangler. Note that Library is now hidden by default in Lion. A good text editor like TextWrangler will be able to browser hidden directories. If your favorite editor doesn't for some reason, you can open it with the Terminal command:
open -a YourTextEditor ~/Library/Preferences/com.apple.dock.plist
Replace YourTextEditor with the name of your actual text editor.
Once you have this file, you will want to edit the key workspaces-app-bindings. If you used Spaces in (Snow) Leopard, this should already exist. Otherwise, you will need to create it by adding:
<key>workspaces-app-bindings</key> <dict> <key></key> </dict>
<key>workspaces</key> <true/>
Now, to add Application bindings, below the line, add lines like:
<key>ch.sudo.cyberduck</key> <integer>4</integer>
As far as I can tell the old Spaces settings regarding the number of spaces have no effect in Mission Control. The number of spaces created is equal to the largest number of the spaces needed for open applications. So if you have application A mapped to space 3 and application B mapped to space 4, and you only have application A open, there will be three space created. But if you open application B, there will be four spaces. I haven't tested this thoroughly, so I may be wrong, though.
To make an application appear in every space, set the integer to 65544. This is a little glitchy in Lion (the application will not appear until you have finished switching spaces), but it works.
Finally, some tips. First, you will probably want to disable space rearranging in the Mission Control preferences. Second, full screen applications still create their own space (to the right of the allotted space). Third, you can setup Keyboard Shortcuts for the spaces in the Keyboard System Preferences, under the Mission Control section of the Keyboard Shortcuts tab. If you have a number pad, this can be a useful way of creating an illusion of two-dimensional spaces. Just pretend that the spaces are arranged like they are in your number pad. If you had Spaces from (Snow) Leopard, these settings will be transferred over automatically. It seems that you can set a keyboard shortcut for any space, as long as it is in existence, except for spaces for full screen applications.
[crarko adds: There are a lot of variables involved here, so be sure to have backups of the plist files before changing them.]

