Lambda expressions are cool. Over older delegate syntax they have a few advantages like, they can be converted to either anonymous function or expression trees, parameter types are inferred from the declaration, they are cleaner and more concise, etc. I see no real value to not use lambda expression when you're in need of an anonymous function. One not so big advantage the earlier style has is that you can omit the parameter declaration totally if they are not used. Like
Action a = delegate { }; //takes one argument, but no argument specified
This is useful when you have to declare an empty delegate that does nothing, but it is not a strong reason enough to not use lambdas.
Lambdas let you write quick anonymous methods. Now that makes lambdas meaningless everywhere where anonymous methods go meaningless, ie where named methods make more sense. Over named methods, anonymous methods can be disadvantageous (not a lambda expression per se thing, but since these days lambdas widely represent anonymous methods it is relevant):
because it tend to lead to logic duplication (often does, reuse is difficult)
when it is unnecessary to write to one, like:
//this is unnecessary
Func f = x => int.Parse(x);
//this is enough
Func f = int.Parse;
since writing anonymous iterator block is impossible.
Func> f = () => { yield return 0; }; //impossible
since recursive lambdas require one more line of quirkiness, like
Func f = null;
f = x => (x <= 1) ? 1 : x * f(x - 1);
well, since reflection is kinda messier, but that is moot isn't it?
Apart from point 3, the rest are not strong reasons not to use lambdas.
Also see this thread about what is disadvantageous about Func/Action delegates, since often they are used along with lambda expressions.
