Basically, Python’s lambda is a tool for building functions (or more precisely, function objects).
That means that Python has two tools for building functions: def and lambda.
Here’s an example. You can build a function in the normal way, using def, like this:
def square_root(x): return math.sqrt(x)
or you can use:
lambda: square_root = lambda x: math.sqrt(x)
Back in the High Old Times, we recognized two different kinds of subroutines: procedures and functions.
Procedures were for doing stuff, and did not return anything. Functions were for calculating and returning values.
The difference between functions and procedures was even built into some programming languages. In Pascal, for instance, procedure and function were different keywords.
In most modern languages, the difference between procedures and functions is no longer enshrined in the language syntax.
A Python function, for instance, can act like a procedure, a function, or both. The (not altogether desirable) result is that a Python function is always referred to as a function, even when it is essentially acting as a procedure.
[…] most tutorials introduce lambda as a tool for creating anonymous functions, things whose primary purpose is to calculate and return a result. The very first example that you see in most tutorials (this one included) shows how to write a lambda to return, say, the square root of x.
But this is not the way that lambda is most commonly used, and is not what most programmers are looking for when they Google “python lambda tutorial”.
The most common use for lambda is to create anonymous procedures for use in GUI callbacks. In those use cases, we don’t care about what the lambda returns, we care about what it does.
This explains why most explanations of lambda are confusing for the typical Python programmer. He’s trying to learn how to write code for some GUI framework: Tkinter, say, or wxPython.
He runs across examples that use lambda, and wants to understand what he’s seeing. He Googles for “python lambda tutorial”. And he finds tutorials that start with examples that are entirely inappropriate for his purposes.

### References:

http://pythonconquerstheuniverse.wordpress.com/2011/08/29/lambda_tutorial/
http://www.blog.pythonlibrary.org/2010/07/19/the-python-lambda/