Looks like lambdas are supported since 4.4, that's what I get on 4.3.2:
main.cpp:7:30: current parser token ')'
main.cpp:5:1: parsing function body 'main'
main.cpp:5:1: in compound statement ('{}')
clang: error: unable to execute command: Segmentation fault: 11
Too bad we are now locked for next year or so. (and of course 4.4 doesn't support OSX 10.6, so no C++11 for us anyway...)