I have quickly read over the Microsoft Lambda Expression documentation.
This kind of example has helped me to understand better, though:
delegate in
Lambda expression is a concise way to represent an anonymous method. Both anonymous methods and Lambda expressions allow you define the method implementation inline, however, an anonymous method explicitly requires you to define the parameter types and the return type for a method. Lambda expression uses the type inference feature of C# 3.0 which allows the compiler to infer the type of the variable based on the context. It’s is very convenient because that saves us a lot of typing!