Some of us were brought up on offal...and still are. And, in many cultures, it's prized because it's the most tender and flavoursome of meats. Steak is expensive because it's muscle fibre which has been worked more frequently and is therefore tender. But, when you think about it, the heart is working constantly 24 hours a day, which actually makes it more tender and succulent.
Hearts are delicious and there are only two ways to cook them. Either cut into thin strips and then flash-fryed over a very high heat, or loooooong slow braising, which is generally best for lamb. As advised, wash them out in cold water to make sure there are no clots inside the ventricles, and then trim away the excess fat on the outside. Also a good idea to use a pair of scissors to snip away the tubes, especially if you've bought them in a pack. Usually a butcher would have done this properly for you.
Make up your choice of stuffing. Plain sage & onion is fine, or add mushrooms, shallots, garlic to breadcrumbs. Then stuff the ventricles on each heart - there should be two, although you can shove the stuffing into one of the holes until it squeezes out of the other. Chop carrots, onion, mushrooms, leeks and place in a casserole dish, add your stock (red wine or a lamb cube works great) , and then braise for at least 2 hours on a low heat - say 160 C.
One thing to watch is that the hearts don't topple over and lose their stuffing. In the old days, the top of the heart would be stitched closed with thread, but you can use cocktail sticks to close them as best you can. Alternatively, if you've added enough veggies to the casserole, you can use these to keep the hearts wedged upright. Just don't cover them completely with stock as you don't want the stuffing to get too wet and fall out. But you still want the hearts to braise in the liquid, so make sure it goes at least three-quarters of the way up the meat. One further tip - if you haven't trimmed enough fat away from the hearts, you might find a layer shimmering on top of the casserole. So, about an hour into the cooking check for this, and use a spoon to ladle it off. Don't chuck it down the sink else it'll congeal and block...I pour mine into an empty tin can.
It might all seem a bit fiddly at first but, once you've prepped them, you can leave them in the oven to cook merrily away while you go down the pub. Two hours or more later serve a couple of hearts per person with mash and green veg, ladled with the delicious braising stock, and enjoy.