I've not used anonymous methods too much when coding, but I ran upon a (what I think is) great use of it when writing unit tests and specifically when you need to test events. Mark Seemann blogged about it some time ago (and got lots of comments), and I've seen it in other places when surfing around a few blogs. No need for me to list some sample code, just head over to the pleh blog and read.
Cross-posted from my blog at http://weblogs.asp.net/jdanforth