We report on p-Lambda, p-Lambda bar, p bar-Lambda and p bar-Lambda bar correlation functions constructed in central Au-Au collisions at sqrt(s_NN)=200GeV by the STAR experiment at RHIC. The proton and lambda source size is inferred from the p-Lambda and p bar-Lambda bar correlation functions. They are found to be smaller than the pion source size also measured by the STAR detector. This could be a consequence of the collision fireball's collective expansion. The p-Lambda bar and p bar-Lambda correlations, which are measured for the first time, exhibit a large anti-correlation. Annihilation channels and/or a negative real part of the spin-averaged scattering length must be included in the final-state interactions calculation to reproduce the measured correlation function.