I saw Lambda Expressions in a reply in the "What's New" thread, and have a few questions about it.

As I understand in Lambda Expressions were added to provide functionality for LINQ. My questions are as follows:

1) What the heck is it?
2) What would I use it for? Bonus points for explaining why I would and/or not use it in some circumstances. Or better, a situation in which I could use it, but shouldn't.
3) Could you provide an example of one? This is where I've had problems, most of the examples I've seen have been so esoteric, that I just don't get it.