How can I merge two terminal windows in OS X lion?
You have to select View » Show Tab Bar if it's not shown (possible if your window has only a single tab).
Then drag all tab headers (just below the window title bar) straight up or down — not sideways — to initiate a drag of a tab across window bounds. Now you get the translucent "drag visual".
Drag this to the other window, and the dragged tab will attach.
Alternatively, you can always select Window » Merge All Windows from the menu.
Go to Terminal --> Windows -->"Merge All Windows"