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.)
Lambdas are anonymous functions (function with no name) that can be assigned to a variable or that can be passed as an argument to another function. The usefulness of lambda will be realized when you need a small piece of function that will be run one in a while or just once. Instead of writing the function in global scope or including it as part of your main program you can toss around few lines of code when needed to a variable or another function. Also when you pass the function as an argument to another function during the function call you can change the argument (the anonymous function) making the function itself dynamic. Suppose if the anonymous function uses variables outside its scope it is called closure. This is useful in callback functions.
Why use lambda functions?