Actually, list comprehension is much clearer and faster than filter+lambda, but you can use whichever you find easier.
If you are using a filter then there are two things that slow down you:-
The first thing is the function call overhead: as soon as you use a Python function (whether created by def or lambda) it is likely that the filter will be slower than the list comprehension.
The second thing that can affect you is, that the lambda is being forced to access a scoped variable (value). Which is slower than accessing a local variable and in Python 2.x. Whereas list comprehension can only access local variables. If you are using Python 3.x then the list comprehension runs in a separate function so it will also be accessing the value through the closure and this difference won't apply.
To know more about this you can have a look at the following video tutorial:-