Lambda Functions are a feature in programming that allows you to create small, anonymous functions without formally defining them. They are often used for short tasks that can be written in a single line of code, making them convenient for quick operations like filtering or mapping data. In languages like Python, JavaScript, and Java, lambda functions help simplify code by reducing the need for boilerplate function definitions. They are particularly useful in functional programming, where functions are treated as first-class citizens, allowing for more concise and readable code when performing operations on collections or sequences.