If you're really interested in the nitty-gritty details, I highly recommend Jon Skeet's CLR via C#, particularly the 2nd edition. It devotes 2 or 3 full chapters to lambda delegates, espression trees, and their implementations and implications.

All I can really say without summarizing that book is lambdas and closures work the way they do because if they worked any different they would not be able to do some very advanced things. F# is a great functional language but its adoption has been relatively slow because the C# compiler's (and likewise the VB .NET compiler's) implementation of lambdas brings many of the desirable features of functional programming to the table. It's true that lambdas sometimes make simple things harder, but I believe it's right to pick the correct tool for the job. You wouldn't use a drill press to punch holes in paper: you'd use a hole punch. So don't use lambdas for things they make harder.