these days, with functional programing getting popular, and lots lots new languages, the lambda name is falling out of fashion, and i think that's a good thing.
in Mathematica, the lambda is called Pure Function, but is written simply as
Function[…]. (it's called Pure Function to differentiate from functions defined using pattern matching) Mathematica has been that way since version 1 in 1988.
the most important thing about lambda, isn't any advanced use, such as “closure”, or things one hear from the Haskell world. It's simply that the function is a expression, namely it returns a value that represents the function. (and therefore, it can be assigned to a var, or passed as a parameter to other function, or returned as a value from a function) (here, in lisp world it's sometimes known as “Function as First Class Citizens”. (again, a term that harms education and progress and propagation of functional languages))