In lambda calculus, Lisp, scheme, and haskell, lambda is used to create an abstraction---that is, an unnamed function. For example, the function which computes the square of its argument may be written as:
\lambda x . * x x (in lambda calculus, assuming * has been defined)
(lambda (x) (* x x)) (in Lisp and scheme)
\ x -> (x * x) (in haskell).
In ML, lambda is called `fn':
fn x => (x * x)