To elaborate on tvanfosson's answer; this behavior is described in the C# 3.0 language specification (§7.14):
The behavior of lambda-expressions and
anonymous-method-expressions is the
same except for the following points:
• anonymous-method-expressions permit
the parameter list to be omitted
entirely, yielding convertibility to
delegate types of any list of value
parameters.
• lambda-expressions permit parameter
types to be omitted and inferred
whereas anonymous-method-expressions
require parameter types to be
explicitly stated.
• The body of a lambda-expression can
be an expression or a statement block
whereas the body of an
anonymous-method-expression must be a
statement block.
• Since only lambda-expressions can
have an expression body, no
anonymous-method-expression can be
successfully converted to an
expression tree type (§4.6).
I think:
Action<int> action = () => Console.WriteLine("lambda");
is the equivalent of:
Action<int> action = delegate() { Console.WriteLine("delegate"); };
which wouldn't compile either. As Daniel Plaisted says () is explicitly saying there aren't any parameters.
If there were an equivalent of delegate{} it might be:
Action<int> action = => Console.WriteLine("lambda")
Which isn't very pretty and I suspect it suspect isn't in the spirit of lambda expressions.