A very clear and concise post by Neal Gafter on the use , differences and benifits of closures here.
When I read the initial proposal , it was slightly confusing.
I felt that the return syntax smelt like goto's , ability to access non-final local variables was worrisome , etc.
The ideas on the last two posts (here and here) are very instructive and clarify things quite a bit.
The synchronous usecase is something I have tried time and again to solve within my code - usually inefficiently with hacked up callbacks : closures would be a much more cleaner fix for this problem.

A friend of mine forwarded this excellent preso by Roumen , give it a whirl !