Oh look, a real question!
In trying to actually complete something, I came across the following limitation of this lambda macro creator: it apparently does not work in the use case it was intended for. It's certainly a problem with expansion control, but I don't know where to really start.
\documentclass{article}
% (David Carlisle / @Manuel)'s much simpler version
\newcommand\LambdaFunction[2][0]{%
\let\tmp\relax
\newcommand\tmp[#1]{#2}\tmp}
\usepackage{empheq}
\begin{document}
\begin{empheq}[
box={\LambdaFunction{%
\colorbox
{myblue}%
{\hspace{1em}#1\hspace{1em}}%
}%
}
]{align*}
a &= b \\
a^2 &= b^2
\end{empheq}
\end{document}
expl3. – Sean Allred Jul 04 '14 at 19:34