There is one subtle difference you should be aware of. Consider the following queries (using the proverbial NorthWind).
Customers.Where(delegate(Customers c) { return c.City == "London";});
Customers.Where(c => c.City == "London");
The first one uses an anonymous delegate and the second one uses a lambda expression. If you evaluate the results of both you will see the same thing. However, looking at the generated SQL, we'll see quite a different tale. The first generates
SELECT [t0].[CustomerID], [t0].[CompanyName], [t0].[ContactName], [t0].[ContactTitle], [t0].[Address], [t0].[City], [t0].[Region], [t0].[PostalCode], [t0].[Country], [t0].[Phone], [t0].[Fax]
FROM [Customers] AS [t0]
Whereas the second generates
SELECT [t0].[CustomerID], [t0].[CompanyName], [t0].[ContactName], [t0].[ContactTitle], [t0].[Address], [t0].[City], [t0].[Region], [t0].[PostalCode], [t0].[Country], [t0].[Phone], [t0].[Fax]
FROM [Customers] AS [t0]
WHERE [t0].[City] = @p0
Notice in the first case, the where clause is not passed to the database. Why is this? The compiler is able to determine that the lambda expression is a simple single-line expression which can be retained as an expression tree, whereas the anonymous delegate is not a lambda expression and thus not wrappable as an Expression>. As a result in the first case, the best match for the Where extension method is the one that extends IEnumerable rather than the IQueryable version which requires an Expression>.
At this point, there's little use to the anonymous delegate. It's more verbose and less flexible. In general, I would recommend always using the lambda syntax over the anonymous delegate syntax and pick up parsability and syntactic terseness as well.
