I can find lots of stuff showing me what a lambda function is, and how the syntax works and what not.  But other than the "coolness factor" (I can make a function in middle a call to another function, neat!) I haven't seen something that's overwelmingly compelling to say why I really need/want to use them.
It seems to be more of a stylistic or structual choice in most examples I've seen.  And kinda breaks the "Only one correct way to do something" in python rule.  How does it make my programs, more correct, more reliable, faster, or easier to understand?  (Most coding standards I've seen tend to tell you to avoid overly complex statements on a single line.  If it makes it easier to read break it up.)
Lambda, while useful in certain situations, has a large potential for abuse.  lambda's almost always make code more difficult to read.  And while it might feel satisfying to fit all your code onto a single line, it will suck for the next person who has to read your code.
Direct from PEP8
"One of Guido's key insights is that code is read much more often than it is written."
Why use lambda functions?