A lamb is a baby sheep. Most female sheep, or ewes, give birth to one or two lambs each spring. Lambs are so cute that they tend to show up in nursery rhymes — as in "Mary had a little lamb." Awwww.
When you're petting a newborn sheep, you can call it a lamb, but if you're eating meat that comes from this same animal, it's a mass noun, lamb without the a. The word can be a verb too, as when a ewe lambs, or gives birth, and it's been a common pet name, especially for a young child, since at least the eleventh century: "Okay, time for bed, lamb!"