Science this week published a paper on aphid pigmentation, which provides a nice example of an adaptation resulting from lateral gene transfer -- in this case, from some ancient fungus into an insect. I recommend Jerry Coyne's discussion of the paper: "Aphids nab pigment genes from fungus."
Figure 2 gives a phylogenetic tree of the carotenoid desaturases, and shows clearly that the aphid genes nest within the group of desaturases from fungi. This tree (and the tree for synthases as well) also show that all seven of the aphid genes were acquired from fungi in a single capture event between 80 and 30 million years ago. We don’t know how this happened, but it’s possible that an ancestral aphid infected with a fungal disease captured some of the fungus DNA.
My favorite example of lateral gene transfer is syncytin, an essential protein for placenta formation, which seems to have originated from an ancient retrovirus (some links in "Retroviruses, immune responses, and vertebrate evolution").
Moran, N. A. and T. Jarvik. 2010. Lateral transfer of genes from fungi underlies carotenoid production in aphids. Science 328:624-627. doi: