There is an extra level of indirection when using the lambda expression. With a non-closure expression like that, you'll simply have an extra method call in-between, as mentioned by others.
There are a few interesting differences though. In the second case, a new delegate instance is being created on each call. For the former, the delegate is created once and cached as a hidden field, so if you're calling a lot you'll save on allocations.
Additionally, if you introduce a local variable into the lambda expression, it becomes a closure and instead of just a local method being generated, a new class will be created to hold this information, meaning an extra allocation there.