pickle and cPickle will happily dump a lambda, but on 
load, both report:
SystemError: Failed to import class <lambda> from 
module __main__

Seen on Py 2.1 & 1.5.2

>>> f = lambda x: x in (1,2,3)
>>> o = cPickle.dumps(f)
>>> f2 = cPickle.loads(o)
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
SystemError: Failed to import class <lambda> from 
module __main__
>>> o = pickle.dumps(f)
>>> f2 = pickle.loads(o)
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
  File "c:\python21\lib\pickle.py", line 951, in loads
    return Unpickler(file).load()
  File "c:\python21\lib\pickle.py", line 567, in load
    dispatch[key](self)
  File "c:\python21\lib\pickle.py", line 780, in 
load_global
    klass = self.find_class(module, name)
  File "c:\python21\lib\pickle.py", line 790, in 
find_class
    raise SystemError, \
SystemError: Failed to import class <lambda> from 
module __main__