How to write tests when closures are involved

To mock callables, I usually mock __invoke:

$callbackMock = $this->getMockBuilder(\stdClass::class)
    ->setMethods(['__invoke'])
    ->getMock();

$callbackMock->expects($this->once())->method('__invoke'); // etc.

The problem is that Magento uses \Closure type hints instead of callable. As soon as Magento supports PHP 7.1 you will be able to use Closure::fromCallable($callbackMock), until then, wrap it yourself:

$closure = function(...$args) use ($callbackMock) {
    return $callbackMock(...$args);
};

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That aside, I would not bother writing unit tests for plugins most of the time. If there is business logic that I write with unit tests, this would be in another class where the plugin delegates to. To test if the plugin works correctly, an integration test is more appropiate.