Yes, it is fully supported. Until you create an expression tree or refer to System.Core, System.Xml.Linq, etc., it is completely legal to use lambda expressions in an application with a specific purpose of 2.0. This applies to any other compiler function introduced in VS2008 (VB9).
EDIT
Several answers incorrectly state that Lambda Expressions is a 3.5 or 3.0 feature. Lambda expressions are a compiler function, not a Framework. They don’t need the support of the framework to work, and it’s quite legal to use them in an application down aimed at 2.0.
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