Is there a way to declare a C# lambda and immediately call it?

Instead of trying to cast the lambda, I propose you use a small helper function:

public static TOut Exec<TIn, TOut>(Func<TIn, TOut> func, TIn input) => func(input);

which you could then use like this: int x = Exec(myVar => myVar + 2, 0);. This reads a lot nicer to me than the alternatives suggested here.

It's ugly, but it's possible:

int output = ((Func<int, int>)(input => { return 1; }))(0);

Anonymous functions, including lambda expressions, are implicitly convertible to a delegate that matches their signature, but this syntax requires the lambda to be enclosed in parentheses.

The above can be simplified as well:

int output = ((Func<int, int>)(input => 1))(0);

Lambda literals in C# have a curious distinction in that their meaning is dependent on their type. They are essentially overloaded on their return type which is something does not exist anywhere else in C#. (Numeric literals are somewhat similar.)

The exact same lambda literal can either evaluate to an anonymous function that you can execute (i.e. a Func/Action) or an abstract representation of the operations inside of the Body, kind of like an Abstract Syntax Tree (i.e. a LINQ Expression Tree).

The latter is, for example, how LINQ to SQL, LINQ to XML, etc. work: the lambdas do not evaluate to executable code, they evaluate to LINQ Expression Trees, and the LINQ provider can then use those Expression Trees to understand what the body of the lambda is doing and generate e.g. a SQL Query from that.

In your case, there is no way for the compiler to know wheter the lambda literal is supposed to be evaluated to a Func or a LINQ Expression. That is why Johnathan Barclay's answer works: it gives a type to the lambda expression and therefore, the compiler knows that you want a Func with compiled code that executes the body of your lambda instead of an un-evaluated LINQ Expression Tree that represents the code inside the body of the lambda.