Execute lambda expression immediately after its definition?

You should be able to do this:

Action runMe = () => { Console.WriteLine("Hello World"); };
runMe();

Sure.

new Action(() => { Console.WriteLine("Hello World"); })();

That should do the trick.

Another "option", which is just the other two answers in a slightly different guise:

((Action)(() => { Console.WriteLine("Hello World"); }))();

The reason, as directly taken from phoog's comment:

...you haven't told the compiler whether you want an Action or an Expression<Action>. If you cast that lambda expression to Action, you'll be able to call Invoke on it or use the method-call syntax () to invoke it.

It sure gets ugly though, and I do not know of a place where this form is ever useful, as it cannot be used for recursion without a name...