Reading around I found this:

As was mentioned, anonymous methods are a step toward some kind of LINQ-like functionality. However, my ultimate goal is to use this underlying mechanism for increased parallelism both in terms of a library-based solution in the near-future and ultimately as intrinsic parallel-computing functionality of the language itself.

Building the foundation is the first step in building a house.

Allen Bauer. CodeGear/Embarcadero Chief Scientist.
Source: http://www.reddit.com/r/programming/...why_hasnt_the/

Now that sounds really interesting, and would explain what those anonymous functions are for.