[paulmcpazzi]

  ((Action)(() => Console.WriteLine("Hello")))();

or

  new Action(() => Console.WriteLine("Hello"))();

Yeah, it's verbose because you have to cast the lambda expression before executing it, but honestly I don't know any case where a self executing function can be useful in C#.

[Touche]

Not too bad. Actions return null though. How about a self-executing function that returns a value? This is useful for assigning values to variables. IIRC it's going to start getting more ugly from here.

[noblethrasher]

    (new Func<int>(() => 2))();