Is there any particular reason? Is it not possible at all or is it just not implemented yet? Maybe there are any third-party addins that allow lambda evaluations?
UPDATE:
I've found this project on codeplex Extended Immediate Window. Seems that it has been abandoned for some time, but this can be a proof of a concept. Does anybody know any other immediate window extension addins? The ones that can run for/foreach statements in C# for instance?