Additional points:
Per this source and Lambda FAQ and Glue FAQ
Lambda can use a number of different languages (Node.js, Python, Go, Java, etc.) vs. Glue can only execute jobs using Scala or Python code.
Lambda can execute code from triggers by other services (SQS, Kafka, DynamoDB, Kinesis, CloudWatch, etc.) vs. Glue which can be triggered by lambda events, another Glue jobs, manually or from a schedule.
Lambda runs much faster for smaller tasks vs. Glue jobs which take longer to initialize due to the fact that it's using distributed processing. That being said, Glue leverages its parallel processing to run large workloads faster than Lambda. NOTE: Lambda jobs are specifically for 15 minute or less scripts. Anything more, and you want to use another tool.
Lambda looks to require more complexity/code to integrate into data sources (Redshift, RDS, S3, DBs running on ECS instances, DynamoDB, etc.) while Glue can easily integrate with these. However, with the addition of Step Functions, multiple lambda functions can be written and ordered sequentially due reduce complexity and improve modularity where each function could integrate into a aws service (Redshift, RDS, S3, DBs running on ECS instances, DynamoDB, etc.)
Glue looks to have a number of additional components, such as Data Catalog which is a central metadata repository to view your data, a flexible scheduler that handles dependency resolution/job monitoring/retries, AWS Glue DataBrew for cleaning and normalizing data with a visual interface, AWS Glue Elastic Views for combining and replicating data across multiple data stores, AWS Glue Schema Registry to validate streaming data schema.
There are other examples I am missing, so feel free to comment and I can update.