Lambda expression vs anonymous methods

Yes, lambda expressions are just very special anonymous methods.

However, there are some deep differences. Start with Eric Lippert's Lambda Expression vs. Anonymous Methods, Part One and continue to the rest of the series.

The only difference is the lambda can be easily cast to Expression<Func<void>>. The delegates are purely just methods/closures, but the lambda can also be broken down into an expression tree:

Expression<Func<int, int>> expr = x => x*2; // Expression tree
Func<int, int> fun = x => x*2;              // Function
delegate int MyDelegate(int x);             // Delegate
MyDelegate del = x => x*2;                  // Same as Function and Delegate