Lamb brains are eaten in most lamb growing regions, but have not been easy to find here in Southern California (which is not much of a lamb growing region). In Autumn 2013 I did find some, imported from Australia, packaged in individual plastic bags arranged six to a foam tray. Typically, they were 3 inches wide by 3-1/2 inches long and weighed 3-1/4 ounces each. Cost was US 2013 $5.99 / pound.
Brains are very high in cholesterol. That's pretty much what brains are made out of, but there are other concerns. Scrapie, the sheep and goat version of mad cow disease, is not currently thought to transmit to humans, but there is considerable concern that it could morph into a version that can. In Europe, even heads of mature sheep that have had their brains removed are illegal due to this concern. Heads of lambs may be sold if the brain and spinal cord have been carefully removed. Fortunately, scrapie has been pretty much eliminated from Australia and New Zealand.
More on Lamb Innards.
Some people (mostly not in North America) just dote over brains. I'm not one of those, and kind of wonder about those who do. I haven't liked the brains of any critter I've tried, either for taste or texture, but these were particularly bad. Cooked for just a short time they had almost the consistency of mush, and rather than being bland they had a distinctly unpleasant taste - and an unpleasant aftertaste that lingered.
After tasting one, I decided not to do any recipes for Lamb Brains - the zombies are welcome to them. Consequently, I don't have much detail - there are limits to just how far I'll go in the cause of science. I can report, though, that cooked they yield about 73% of their uncooked weight.
Subst: Sweetbreads (thymus and pancreas) are considered superior substitutes for brains (and I can testify to that for beef). While lamb sweetbreads are very popular in Latin America and Turkey, I have not seen them here in Southern California, but beef sweetbreads are fairly available - if you know where to look.