Because the function has no name, you can’t call it like a regular function. Instead you must either assign it to a variable or pass it to another function as an argument.
Lambdas are useful because they are throw away functions that you can use once. Often, you will need a function to do a job, but it doesn’t make sense to have it within the global scope or to even make it available as part of your code. Instead of having a function used once and then left lying around, you can use a Lambda instead.
Of course, you have been able to use the create_function function in PHP for a while now. This basically does the same job.