Unreadable syntax
While lambdas are undoubtably a boon to C++ (or any other language that don't already have them), I find the syntax to be unreadable. This may be because I find C++ syntax in general to be horrible, but for comparison you should look at languages like Haskell or SML. I'm not saying that the syntax of these langauges can not be improved, but they are a damn sight more readable than C++ -- lambdas or no lambdas.