Are there C++ compilers already supporting C++0x lambda expressions?
Intel C++ Compiler does, e.g. according to TBB Tutorial.
G++ supports it in 4.5 if you enable it using -std=gnu++0x.
g++ has support since 4.5. Status for C++11 support in gcc can be found here.
Visual Studio 2010 CTP supports it already.
Update: It is now Visual Studio 2010 Beta 2