I have quickly read over the Microsoft Lambda Expression documentation.
This kind of example has helped me to understand better, though:
delegate in
It's a way of taking small operation and putting it very close to where it is used (not unlike declaring a variable close to its use point). This is supposed to make your code more readable. By anonymizing the expression, you're also making it a lot harder for someone to break your client code if it the function is used somewhere else and modified to "enhance" it.
Similarly, why do you need to use foreach? You can do everything in foreach with a plain for loop or just using IEnumerable directly. Answer: you don't need it but it makes your code more readable.