Scrub the lemon clean (seriously, use soap and scrub it; the peel can take the attention, and since you're only using that outside zest, you want it completely clean) and dry it thoroughly.
Use a very sharp paring knife or a vegetable peeler to remove the zest from the lemon in long strips. Unlike most calls for zest, you want big strips, not small gratings. The zest is just the bright yellow part of the peel, not the bitter white pith immediately below it. Whatever you do, leave the pith behind, it will turn the oil bitter; if bits of pith cling to the zest, use a sharp knife to carefully cut it off.
Put the lemon zest and the olive oil in a small saucepan and warm it over medium heat. Do not allow the oil to simmer, or develop any bubbles, even little ones along the side of the pan. Keep the oil warm for about 10 minutes. Remove the pan from heat and let the oil cool to room temperature with the zest left in there to steep.
Strain the lemon zest out of the oil: either pour it through a sieve or simply use tongs or a fork to lift the zest out of the oil, letting any excess oil drip off back into the pan. Transfer the now-lemon-infused oil into a clean jar or another type of sealable container. Store the oil in a cool, dark place.