Tobias Rittweiler posted an explanation about the difference between (lambda and #'(lambda. The article is really useful, because I remember several times seeing the question in discussions unanswered.
Well, after reading LoL I sticked to using (lambda variant and I consider it to be the right thing: the less tokens, the less questions and confusion.
All I can add is, that Common Lisp continues to surprise me with how well thought it's design is. So, throw away the reader macros — it works by itself :)