Checking if CLI arguments are valid files/directories in Python
You can address some of this by subclassing ArgumentParser.  This will allow you hide the lambda calls that may turn off some and leave you scratching your head if you come back to that file later.

Your Script  

if __name__ == "__main__":
    # Process the arguments
    #import argparse
    import arghelper
    parser = arghelper.FileArgumentParser(
        description='Process the data.')
    parser.add_argument_with_check(
        'config_file',
        help='CSV configuration file.',
        metavar='FILE')
    parser.add_argument_with_check(
        'input_dir',
        help='Directory containing the input files.',
        metavar='DIR')
    parser.add_argument_with_check(
        'output_dir',
        help='Directory where the output files should be saved.',
        metavar='DIR')
    args = parser.parse_args()
    print args


New ArgHelper  

import argparse
import os


class FileArgumentParser(argparse.ArgumentParser):
    def __is_valid_file(self, parser, arg):
        if not os.path.isfile(arg):
            parser.error('The file {} does not exist!'.format(arg))
        else:
            # File exists so return the filename
            return arg

    def __is_valid_directory(self, parser, arg):
        if not os.path.isdir(arg):
            parser.error('The directory {} does not exist!'.format(arg))
        else:
            # File exists so return the directory
            return arg

    def add_argument_with_check(self, *args, **kwargs):
        # Look for your FILE or DIR settings
        if 'metavar' in kwargs and 'type' not in kwargs:
            if kwargs['metavar'] is 'FILE':
                type=lambda x: self.__is_valid_file(self, x)
                kwargs['type'] = type
            elif kwargs['metavar'] is 'DIR':
                type=lambda x: self.__is_valid_directory(self, x)
                kwargs['type'] = type
        self.add_argument(*args, **kwargs)