Are you using lambda apply locally or with an EC2 instance? This could be a known issue on EC2 instance (http://forum.graphlab.com/discussion/57/graphlab-create-beta-known-issues#latest):
"Some SArray lambda operations (apply and filter) may encounter module import failures.
This is a known issue. To parallelize the lambda, we spawn multiple processes each wrapping libpython. Those additional processes may not have the location of the modules. The function used for apply/filter therefore should not reference functions across modules."