lambda defines an anonymous inline function. These functions are limited compared to the full functions you can define with def - they can't do assignments, and they just return a result. However, you can run into interesting issues with them, as defining an ordinary function inside a loop is not common, but lambda functions are often put into loops. This can create closure issues.
The following:
>>> a = []
>>> for i in range(3):
... a.append(lambda:i)
adds three functions (which are first-class objects in Python) to a. These functions return the value of i. However, they use the definition of i as it existed at the end of the loop. Therefore, you can call any of these functions:
>>> a[0]()
2
>>> a[1]()
2
>>> a[2]()
2
and they will each return 2, the last iteration of the range object. If you want each to return a different number, use a default argument:
>>> for i in range(3):
... a.append(lambda i=i:i)
This will forcibly give each function an i as it was at that specific point during execution.
>>> a[0]()
0
>>> a[1]()
1
>>> a[2]()
2
Of course, since we're now able to pass an argument to that function, we can do this:
>>> b[0](5)
5
>>> b[0](range(3))
range(0, 3)
It all depends on what you're planning to do with it.