\documentclass{article}
\usepackage[pdftex,active,tightpage]{preview}
\setlength\PreviewBorder{2mm}
\usepackage{tikz}
\usetikzlibrary{fit,matrix,positioning}

\tikzset{%
  highlight/.style={
    rectangle,
    rounded corners,
    fill=#1!15,
    draw,
    fill opacity=0.5,
    %thick,
    inner sep=1pt
  }
}
\newcommand{\tikzmark}[2]{
    \tikz[overlay,remember picture,baseline=(#1.base)] \node (#1) {#2};
}

\newcommand{\Highlight}[3]{%
    \tikz[overlay,remember picture]{
    \node[highlight=#3,fit=(#1.north west) (#2.south east)]  {};}
}

\begin{document}
\begin{preview}
$
  A_{\lambda_i} =
    \left(
      \begin{array}{*5{c}}
       \tikzmark{1}{$\lambda_i$}     &     1         &    0      &         &  0        \\
                                        & \lambda_i     &    1      &         &           \\
                                        &               & \lambda_i\tikzmark{2}{} &         &           \\
                                        &               &           &  \ddots &           \\
                             0          &               &           &         & \tikzmark{3}{$\lambda_i$} \tikzmark{4}{} \\
      \end{array}
    \right)
  \Highlight{1}{2}{blue}
  \Highlight{3}{4}{red}
$
\end{preview}
\end{document}
