Lambda comes from the Lambda Calculus and refers to anonymous functions in programming.

Why is this cool? It allows you to write quick throw away functions without naming them. It also provides a nice way to write closures. With that power you can do things like this.

Python

def adder(x):
    return lambda y: x + y
add5 = adder(5)
add5(1)
6

As you can see from the snippet of Python, the function adder takes in an argument x, and returns an anonymous function, or lambda, that takes another argument y. That anonymous function allows you to create functions from functions. This is a simple example, but it should convey the power lambdas and closures have.

Examples in other languages

Perl 5

sub adder {
    my ($x) = @_;
    return sub {
        my (x + $y
    }
}

my $add5 = adder(5);
print &$add5(1) == 6 ? "ok\n" : "not ok\n";

JavaScript

var adder = function (x) {
    return function (y) {
        return x + y;
    };
};
add5 = adder(5);
add5(1) == 6

JavaScript (ES6)

const adder = x => y => x + y;
add5 = adder(5);
add5(1) == 6

Scheme

(define adder
    (lambda (x)
        (lambda (y)
           (+ x y))))
(define add5
    (adder 5))
(add5 1)
6

C# 3.5 or higher

Func<int, Func<int, int>> adder = 
    (int x) => (int y) => x + y; // `int` declarations optional
Func<int, int> add5 = adder(5);
var add6 = adder(6); // Using implicit typing
Debug.Assert(add5(1) == 6);
Debug.Assert(add6(-1) == 5);

// Closure example
int yEnclosed = 1;
Func<int, int> addWithClosure = 
    (x) => x + yEnclosed;
Debug.Assert(addWithClosure(2) == 3);

Swift

func adder(x: Int) -> (Int) -> Int{
   return { y in x + y }
}
let add5 = adder(5)
add5(1)
6

PHP

b = 2;

$lambda = fn () => b;

echo $lambda();

Haskell

(\x y -> x + y) 

Java see this post

// The following is an example of Predicate : 
// a functional interface that takes an argument 
// and returns a boolean primitive type.

Predicate<Integer> pred = x -> x % 2 == 0; // Tests if the parameter is even.
boolean result = pred.test(4); // true

Lua

adder = function(x)
    return function(y)
        return x + y
    end
end
add5 = adder(5)
add5(1) == 6        -- true

Kotlin

val pred = { x: Int -> x % 2 == 0 }
val result = pred(4) // true

Ruby

Ruby is slightly different in that you cannot call a lambda using the exact same syntax as calling a function, but it still has lambdas.

def adder(x)
  lambda { |y| x + y }
end
add5 = adder(5)
add5[1] == 6

Ruby being Ruby, there is a shorthand for lambdas, so you can define adder this way:

def adder(x)
  -> y { x + y }
end

R

adder <- function(x) {
  function(y) x + y
}
add5 <- adder(5)
add5(1)
#> [1] 6