Code:
string $selectedObjs[] = `ls -sl`; //get selected objects
for ($obj in $selectedObjs){ //iterate on selected objects
string $newMat = `shadingNode -asShader "lambert"`; //create a lambert
string $rnMat = `rename $newMat ($obj + "_Lmb_Mat")`; //rename new material based on object [optional]
string $newSG = `sets -renderable true -noSurfaceShader true -empty -name ($rnMat + "SG")`; //create a shading group
connectAttr -f ($rnMat + ".outColor") ($newSG + ".surfaceShader"); //connect shading group to lambert
sets -e -forceElement $newSG $obj; //connect material to object
}