As others have stated, scoping is the problem. Note that you can solve this by adding an extra argument to the lambda expression and assigning it a default value:
>> def makeFun(i): return lambda: i
...
>>> a = [makeFun(i) for i in range(10)]
>>> b = [lambda: i for i in range(10)]
>>> c = [lambda i=i: i for i in range(10)] # <-- Observe the use of i=i
>>> a[2](), b[2](), c[2]()
(2, 9, 2)
The result is that i is now explicitly placed in a scope confined to the lambda expression.