Comment #4 on issue 2155 by asmeurer: lambdify() does not convert complex quantities properly with the "numpy" option
http://code.google.com/p/sympy/issues/detail?id=2155
Based on the comment in the code from that commit, it is trying to extract the Symbols from an expression. But .atoms() gets all Atoms, which can include more than just Symbols (like I and oo). Thus, I think it should be changed to expr.atoms(Symbol).
As far as making the I => 1j conversion work automatically, it should just be a matter of adding it to the list of translations at the top of lambdify.py, if I understand how that works correctly.
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