During the last training event we covered the way from delegates to Lambda Expressions and we have seen some examples when and how to use lambda expressions (mostly in combination with the new LINQ technology).
If you look at the MSDN websites (at http://msdn.microsoft.com/en-us/library/bb397687.aspx) you will find a proper definition of Lambda Expressions.
You will also find the following definition which should answer any open questions:
Lambda expressions provide a simple way to write inline code blocks where delegates are expected. Their behavior is strikingly similar to anonymous methods. In fact, they are syntactic sugar in terms of syntax. They can take multiple parameters, explicit or implicit.