Lamb sweetbreads are the pancreas and thymus glands, often called heart or throat sweetbreads. These are classified as offal but are really quite a delicacy. You can get sweetbreads from butchers but it's best to order in advance - restaurants are often snatching these delectable morsels up.
Before cooking, it's advisable to soak them in water, salt water, or vinegar in advance to remove impurities, and enable the sinew and membranes to be removed easily. You should also change the water a couple times.
Sweetbreads can be pan-fried, grilled or barbecued. They have a delicate flavour, and a soft and creamy texture. Try Galton Blackiston's recipe for spiced sweetbreads with fennel and mushroom duxelles, or if you fancy a culinary challenge - Steve Drake's lamb sweetbreads with shiitake and peas.