Lambda expressions are callable entities that are defined within a function. You can return a lambda expression from a function and you can pass lambda expressions to other functions.
Support for lambda expressions as introduced in Visual Basic 2008, and in the September issue of MSDN Magazine, Timothy Ng explains the basic concepts of lambda expressions, their benefits, and how you can use them to write more expressive programs.
Language Integrated Queries (LINQ), which adds data programmability to Visual Basic, also makes use of lambda expressions. To learn more about LINQ, see the article Unleash The Power Of Query In Visual Studio "Orcas" from the June 2007 issue of MSDN Magazine.
Also, be sure to check out Timothy's blog for ongoing discussion of Visual Basic and LINQ topics.