What is a lambda expression in C++ and when should it be used?

Hello colleagues! I started learning C++11 and keep coming across the term "lambda expression". I read the documentation, but I don't fully understand what it is and, most importantly, why it's needed. Here's an example I found in a tutorial:

#include <iostream>
#include <vector>
#include <algorithm>

int main() {
    std::vector<int> numbers = {1, 2, 3, 4, 5};
    int multiplier = 3;

    // What's happening here?
    std::for_each(numbers.begin(), numbers.end(), [multiplier](int n) {
        std::cout << n * multiplier << " ";
    });
    return 0;
}

I understand that `std::for_each` applies a function to each element, but the construct `[multiplier](int n) { ... }` confuses me. Why can't I just write