Lamb shanks are cut from the shin of the lamb. You can get either fore shanks which are the front shanks, or hind shanks which come from the back legs. Hind shanks are typically larger and are the shanks you will most commonly find in restaurants and supermarkets (although you may come across fore shanks too).
Many people think lamb shanks fall into the domain of restaurants, but cook them at home and you'll see how incredibly easy they are to make (and cheap!) They do take a little time which may be off-putting, but once they are in the oven the hard work is done and you can enjoy the amazing smell wafting around your house as an added bonus!