When dealing with something like a List you can write the following:
list.ForEach(x => Console.WriteLine(x));
As others have noted, there is an extra unnecessary layer of indirection induced by the lambda. However, there are subtle language differences as well. For example, in C# 3 generic type inference works differently on M(F) than on M(x=>F(x)) when attempting to perform return type inference.
For details see:
http://blogs.msdn.com/b/ericlippert/archive/2007/11/05/c-3-0-return-type-inference-does-not-work-on-member-groups.aspx
and the follow-up:
http://blogs.msdn.com/b/ericlippert/archive/2008/05/28/method-type-inference-changes-part-zero.aspx