I find this depends on the scenario as the important aspect is making sure the intent of your code is well documented for future maintainers. Therefore, sometimes a lambda works best, but other times an anonymous method is a better option. The problem with lambdas where more than argument is needed, is that the syntax starts to look cluttered, so it can sometimes be useful to use the anonymous method delegate syntax to provide a more recognisable structure.
In the example you have given, the lambda is the better option as it is clear and concise; however, when declaring say an inline event handler, an anonymous method might provide a better solution (with regards to maintainability).