Lambda Expressions are nameless functions given as constant values. They can appear anywhere that any other constant may, but are typically written as a parameter to some other function. The canonical example is that you'll pass a comparison function to a generic "sort" routine, and instead of going to the trouble of defining a whole function (and incurring the lexical discontinuity and namespace pollution) to describe this comparison, you can just pass a lambda expression describing the comparison.
HOWEVER, this misses one of the most important features of Lambda Expressions, which is that they execute in the context of their appearance. Therefore, they can use the values of the variables that are defined in that context. This differentiates function-pointers from true lambda expressions. In languages supporting mutable variables, proper lambda expressions offer the power to change the values of those variables.
Lambda expressions appear (with different syntax) in all LISPs, Perl, Python, and sufficiently-recent versions of C++, Objective C, C# and Java 8, but notably not in C even though it has a way to deal with passing functions (or some excuse for them) around as parameters. They are a syntax element with particular semantics, and those semantics place more requirements on the runtime than C was designed to require.