Using lambda expressions for event handlers

Performance-wise it's the same as a named method. The big problem is when you do the following:

MyButton.Click -= (o, i) => 
{ 
    //snip 
} 

It will probably try to remove a different lambda, leaving the original one there. So the lesson is that it's fine unless you also want to be able to remove the handler.

There are no performance implications since the compiler will translate your lambda expression into an equivalent delegate. Lambda expressions are nothing more than a language feature that the compiler translates into the exact same code that you are used to working with.

The compiler will convert the code you have to something like this:

public partial class MyPage : System.Web.UI.Page
{
    protected void Page_Load(object sender, EventArgs e)
    {
        //snip
        MyButton.Click += new EventHandler(delegate (Object o, EventArgs a) 
        {
            //snip
        });
    }
}