Here's a simple example of something cool you can do with lambdas:
List<int> myList = new List<int>{ 1, 2, 3, 4, 5, 6, 7, 8, 9 };
myList.RemoveAll(x => x > 5);
//myList now == {1,2,3,4,5}
The RemoveAll method takes a predicate(a delegate that takes argurments and returns a bool), any that match it get removed. Using a lambda expression makes it simpler than actually declaring the predicate.