Is it possible to access the std::for_each iterator, so I can erase the current element from an std::list using a lambda (as below)
typedef std::shared_ptr<IEvent>    EventPtr;
std::list<EventPtr> EventQueue;
EventType evt;
...
std::for_each( 
    EventQueue.begin(), EventQueue.end(),
    [&]( EventPtr pEvent )
    {
        if( pEvent->EventType() == evt.EventType() )
            EventQueue.erase( ???Iterator??? );
    }
);
I've read about using [](typename T::value_type x){ delete x; } here on SO, but VS2010 doesn't seem to like this statement (underlines T as error source).
You are using the wrong algorithm.  Use remove_if:
EventQueue.remove_if([&](EventPtr const& pEvent)
{
    return pEvent->EventType() == evt.EventType();
});
The STL algorithms do not give you access to the iterator being used for iteration. This is in most cases a good thing.
(In addition, consider whether you really want to use std::list; it's unlikely that it is the right container for your use case.  Consider std::vector, with which you would use the erase/remove idiom to remove elements that satisfy a particular predicate.)
no, use a regular for instead.
for( auto it = EventQueue.begin(); it != EventQueue.end(); ++it )
{
  auto pEvent = *it;
  if( pEvent->EventType() == evt.EventType() )
      it = EventQueue.erase( it );
);
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