I'd like multiline lambdas too, but the syntax is a thorny problem. F# is the only language I know (are there others?) that allows you to mix whitespace-delimited and paren-delimited expressions, e.g. with whitespace-blocks inside parens:
let f n = n + (
if n % 2 = 0 then
printf "lol"
1
else
printf "omg"
2
)
f 0
// lol
// 1
f 1
// omg
// 3
f 2
// lol
// 3
And it actually works as you'd expect, most of the time, so clearly doing such a thing is possible.
On the other hand, even with lots of smart people behind F#, edge cases in the parsing of this sort of thing bites me pretty regularly. Although It'd be awesome if it could be implemented cleanly and predictably, I definitely do not want to be the one writing the grammar or parser to support this kind of syntax!
-Haoyi