Delphi 2009, among some cool stuff, has also just got Anonymous methods. I've seen the examples, and the blog posts regarding anonymous methods, but I don't get them yet. Can someone explain why I should be excited?
Just think of typical callback code where you need to have data available to the callback. Often this data is needed for the callback only, yet you have to jump through a number of hoops to get it there without having to resign to un-OOP-friendly practices like global variables. With anonymous methods the data can stay where it is - you don't have to unnecessarily extend its scope or copy it to some helper object. Just write your callback code in-place as an anonymous method and it can fully access and manipulate all local variables at the site where the anonymous method is defined (not where it's called!).
There are other aspects of anonymous methods, most obviously the fact that they are, well: anonymous, but this is the one that really made them go "click" for me...