Thanks to Andrew Stacey for pointing me to the new improved tikzmkark. I was not aware of it. This version of \tikzmark allows for using the defined coordinates before the point of its definition. Using \tikzmark{foo} a new coordinate named (pic cs:foo) is available and can be used anywhere in the page.
Using the new \tikzmark, taken from the preamble of https://tex.stackexchange.com/a/50054/12571 the problem can be solved like this:
\begin{document}
\noindent\begin{tikzpicture}[remember picture, overlay]
\fill[yellow] (pic cs:A) circle(2em);
\end{tikzpicture}%
\tikzmark{A}\lipsum[11]
\end{document}
With the desired result:

Appendix
For completeness, the code of the whole document, including the preamble in which the new \tikzmark appears, is included here:
\documentclass{article}
\usepackage{tikz}
\usepackage{lipsum}
\makeatletter
\tikzset{%
remember picture with id/.style={%
remember picture,
overlay,
save picture id=#1,
},
save picture id/.code={%
\edef\pgf@temp{#1}%
\immediate\write\pgfutil@auxout{%
\noexpand\savepointas{\pgf@temp}{\pgfpictureid}}%
},
if picture id/.code args={#1#2#3}{%
\@ifundefined{save@pt@#1}{%
\pgfkeysalso{#3}%
}{
\pgfkeysalso{#2}%
}
}
}
\def\savepointas#1#2{%
\expandafter\gdef\csname save@pt@#1\endcsname{#2}%
}
\def\tmk@labeldef#1,#2\@nil{%
\def\tmk@label{#1}%
\def\tmk@def{#2}%
}
\tikzdeclarecoordinatesystem{pic}{%
\pgfutil@in@,{#1}%
\ifpgfutil@in@%
\tmk@labeldef#1\@nil
\else
\tmk@labeldef#1,(0pt,0pt)\@nil
\fi
\@ifundefined{save@pt@\tmk@label}{%
\tikz@scan@one@point\pgfutil@firstofone\tmk@def
}{%
\pgfsys@getposition{\csname save@pt@\tmk@label\endcsname}\save@orig@pic%
\pgfsys@getposition{\pgfpictureid}\save@this@pic%
\pgf@process{\pgfpointorigin\save@this@pic}%
\pgf@xa=\pgf@x
\pgf@ya=\pgf@y
\pgf@process{\pgfpointorigin\save@orig@pic}%
\advance\pgf@x by -\pgf@xa
\advance\pgf@y by -\pgf@ya
}%
}
\newcommand\tikzmark[2][]{%
\tikz[remember picture with id=#2] #1;}
\makeatother
\begin{document}
\noindent\begin{tikzpicture}[remember picture, overlay]
\fill[yellow] (pic cs:A) circle(2em);
\end{tikzpicture}%
\tikzmark{A}\lipsum[11]
\end{document}
NOTE: Anyone inclined to vote for this self-answer, should vote for https://tex.stackexchange.com/a/50054/12571 instead :-)
Update
As noted by Ulrike Fischer in a comment, putting the tikzpicture which draws the background too close to the decorated paragraph can have side effects on previous paragraph:
\begin{document}
\lipsum[5] % <------ Added a previous paragraph
\medskip
\noindent\begin{tikzpicture}[remember picture, overlay]
\fill[yellow] (pic cs:A) circle(2em);
\end{tikzpicture}%
\tikzmark{A}\lipsum[11]
\end{document}

However, separating too much the tikzpicture from the \tikzmark we risk ending with those in separate pages, and thus the background will appear in the wrong page.
The best solution is then to use some solution which "stores" the required picture and "activates" its output as background at same time that we place the \tikzmark, as for example the solution proposed by Ulrike in the comment.
I explored another option, which is to use the wonderful background package by Gonzalo Medina (thanks to Andrew for suggesting it in a chat!). Using this package we set-up the background picture anywhere in the document, and "activate" it with \BgThispage at same time that we place the \tikzmark. Using this approach there is no need for the new improved tikzmark and instead the old minimalistic tikzmark can be used.
It is important also to give appropiate values to options placement and scale, in order to get the drawing at the appropiate coordinates. There is the MWE:
\documentclass{article}
\usepackage{tikz}
\usepackage[pages=some]{background}
\usepackage{lipsum}
\def\tikzmark#1{\tikz[remember picture, overlay]\coordinate(#1);}
\begin{document}
\backgroundsetup{scale=1,placement=bottom,contents={%
\noindent\begin{tikzpicture}[remember picture,overlay]
\fill[yellow] (A) circle(2em);
\end{tikzpicture}%
}}
\lipsum[5]
\medskip
\noindent\tikzmark{A}\BgThispage\lipsum[11]
\end{document}
And after three (why three?) compilations I get:

\tikzmarktrick. You can't use in the header the absolute coordinates of a node which will be defined later via\tikzmark, because the node is unknown yet. – JLDiaz Dec 12 '12 at 11:36\pdfsaveposand store the position in the aux-file. Themarginnotepackage uses this method to place the notes. And thezrefpackage has a modulesaveposwhich you could use. – Ulrike Fischer Dec 12 '12 at 11:47tikzmark. Functionally, this is the same as the suggestions that Ulrike makes but it's designed to be used with TikZ so is probably the better choice if you want to use TikZ to do the drawing. – Andrew Stacey Dec 12 '12 at 12:00\tikzmarkusing this search!) – JLDiaz Dec 12 '12 at 12:28backgroundpackage. – JLDiaz Dec 12 '12 at 17:50