They have been around for a bit, hiding as delegates, but they're getting some much deserved attention from Joel [0] and Raymond [1].

Joel is critical about the implementation in C#; while Raymond Chen is starting a series about their implementation and subtle errors. I'm not sure I can totally agree with Joel, since I like the obviousness (and typesafe-ness) of defining delegates and calling them as methods, while the compiler handles the plumbing.

links:
[0] Can your programming language do this?
[1] The implementation of anonymous methods in C# and its consequences (part 1)

[update 2006-08-05]

Ramond added 2 new entries to his anonymous methods series:

The implementation of anonymous methods in C# and its consequences (part 2)
The implementation of anonymous methods in C# and its consequences (part 3)