I have quickly read over the Microsoft Lambda Expression documentation.
This kind of example has helped me to understand better, though:
delegate in
Lambda's cleaned up C# 2.0's anonymous delegate syntax...for example
Strings.Find(s => s == "hello");
Was done in C# 2.0 like this:
Strings.Find(delegate(String s) { return s == "hello"; });
Functionally, they do the exact same thing, its just a much more concise syntax.