Can a C# lambda expression have more than one statement?

Sure:

List<String> items = new List<string>();

var results = items.Where(i => 
            {
                bool result;

                if (i == "THIS")
                    result = true;
                else if (i == "THAT")
                    result = true;
                else
                    result = false;

                return result;
            }
        );

(I'm assuming you're really talking about multiple statements rather than multiple lines.)

You can use multiple statements in a lambda expression using braces, but only the syntax which doesn't use braces can be converted into an expression tree:

// Valid
Func<int, int> a = x => x + 1;
Func<int, int> b = x => { return x + 1; };        
Expression<Func<int, int>> c = x => x + 1;

// Invalid
Expression<Func<int, int>> d = x => { return x + 1; };

You can put as many newlines as you want in a lambda expression; C# ignores newlines.

You probably meant to ask about multiple statements.

Multiple statements can be wrapped in braces.

See the documentation.