I have some background in set theory and automata and I am looking for a good place to start with lambda calculus.

There is, of course, the very famous book by Barendregt, which doesn't require much background except for the usual mathematical maturity. He also has some introductory notes here. 


Stoy's book: Joseph E. Stoy, Denotational Semantics: The ScottStrachey Approach to Programming Language Semantics. MIT Press, Cambridge, Massachusetts, 1977 Is a classic, and highly recommended. 


An introductory book that seems very nice to me is LambdaCalculus and Combinators. An introduction by J. Roger Hindley and Jonathan P. Seldin. 


I really enjoy Types and Programming Languages by Benjamin C. Pierce. We used this for a course on the lambda calculus, and I felt this was a great way for a mathematician to learn the subject 


The best books that I've found are:



Another excellent book is "Lambdacalculus, types and models" Ellis Horwood (1993) by JeanLouis Krivine http://www.pps.jussieu.fr/~krivine/articles/Lambda.pdf 


Proof and Types is a good place to learn about the CurryHoward isomorphism. 

