Does Structuremap support Lazy out of the box?

Yes, it does. The latest version of StructureMap (2.6.x) is compiled against .NET Framework 3.5, and so does not have access to the Lazy<T> type introduced in .NET 4. However, it does support the same functionality - "not creating the object which is injected until it is used". Instead of depending on a Lazy<T>, you depend on a Func<T>. No special container registration is required.

I've included a sample program that creates the following output:

Created Consumer
Consuming
Created Helper
Helping

Sample.cs:

class Program
{
    static void Main(string[] args)
    {
        var container = new Container(x =>
        {
            x.For<IConsumer>().Use<Consumer>();
            x.For<IHelper>().Use<Helper>();
        });

        var consumer = container.GetInstance<IConsumer>();
        consumer.Consume();
    }
}

public class Consumer : IConsumer
{
    private readonly Func<IHelper> _helper;

    public Consumer(Func<IHelper> helper)
    {
        _helper = helper;
        Console.WriteLine("Created Consumer");
    }

    public void Consume()
    {
        Console.WriteLine("Consuming");
        _helper().Help();
    }
}

public interface IConsumer
{
    void Consume();
}

public interface IHelper
{
    void Help();
}

public class Helper : IHelper
{
    public Helper()
    {
        Console.WriteLine("Created Helper");
    }

    public void Help()
    {
        Console.WriteLine("Helping");
    }
}