As an OO developer, maybe I have difficulty seeing its value. What added value do they give? Do they fit in an OO world?
As to the concluding query: "Do (closures) fit in an OO world?"
In many languages, closures, along with first-class functions, provide the very foundation for devising OO programs: Javascript, Lua and Perl come to mind.
In another more "traditional" OO language with which I'm familiar, Java, there are 2 primary differences:
Therefore in a "traditional OO" language such as Java, the addition of closures is largely just so much syntactic sugar.