Action, Delegate, Lambda expression and Callbacks in C#. I have created these scripts in Unity, so the only diff is that, starting point here is Start().

ActionDemo.cs

using System.Collections;
using System.Collections.Generic;
using UnityEngine;
using System;

public class ActionDemo : MonoBehaviour {

	void Start(){
		Action<string> SampleAction; //action dont need an explicit delegate to be declared (Action is special kind of delegate which takes parameters but returns nothing)

		SampleAction = PrintMsg;
		SampleAction += delegate(string s) {Debug.Log("from anonymous method : "+s);} ; //using anonymous method
		SampleAction += s => Debug.Log("using lambda expression : "+s); //using lambda expression
		SampleAction ("Hello shrinath");
	}

	void PrintMsg(string msg1){
		Debug.Log ("msg : " + msg1);
	}
}

CallbackUsingActionAndLambdaDemo.cs

using System.Collections;
using System.Collections.Generic;
using UnityEngine;
using System;

public class CallbackUsingActionAndLambdaDemo : MonoBehaviour {

	void Start(){
		DoWork ((String result) => Debug.Log (result)); //passing the executable code to DoWork() as a callback (after doing work in DoWork(), the code which has been sent will be executed)
	}

	public void DoWork(Action<string> callback){
		bool isWorkDone;

		//do work here
		isWorkDone = true;

		if (isWorkDone)
			callback ("yes work is done successfully");
		else
			callback ("sorry work is not done");

	}
}

CallbackUsingDelegateDemo.cs

using System.Collections;
using System.Collections.Generic;
using UnityEngine;

public class CallbackUsingDelegateDemo : MonoBehaviour {

	public delegate void WorkCompletedCallBack(string result);

	public void DoWork(WorkCompletedCallBack callback){
		bool isWorkDone;

		//do work here

		isWorkDone = true;

		if (isWorkDone)
			callback ("yes work done successfully...");
		else 
			callback ("sorry work not done...");
	}

	void Start(){
		WorkCompletedCallBack workResultCallback = ShowWorkResult;
		DoWork (workResultCallback);
	}

	//this is the callback which is called when the work is done in DoWork()
	public void ShowWorkResult(string result){
		Debug.Log (result);
	}
}

DelegateDemo.cs

using System.Collections;
using System.Collections.Generic;
using UnityEngine;

public class DelegateDemo : MonoBehaviour {
	public delegate void Del(string msg); 

	void Start(){
		Del SampleDel;

		SampleDel = PrintMsg;
		SampleDel += Debug.Log; //using plus sign we can subscribe multiple methods to trigger events. 
		SampleDel("Hello Shrinath..."); //when this is called, all the methods subscribed to this delegate gets called
	}

	void PrintMsg(string msg1){
		Debug.Log ("msg : " + msg1);
	}
}

Thanks! Very helpful.