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.)
For me it's a matter of the expressiveness of the code.  When writing code that people will have to support, that code should tell a story in as concise and easy to understand manner as possible.  Sometimes the lambda expression is more complicated, other times it more directly tells what that line or block of code is doing.  Use judgment when writing.
Think of it like structuring a sentence.  What are the important parts (nouns and verbs vs. objects and methods, etc.) and how should they be ordered for that line or block of code to convey what it's doing intuitively.
Why use lambda functions?