Sweetbreads are the thymus glands of lamb, beef, or pork. There are two different connected glands; one set in the neck and the other near the heart. Although both are edible, the heart thymus gland is generally favored because of its delicate flavor and texture, and is thus more expensive. Typically sweetbreads are soaked in salt water, then poached in milk after which an outer membrane is removed. Once dry and chilled, they're often breaded and fried until crisp. It is also popular to use them as a stuffing or in pâtés.
There is a lot of debate about whether or not the pancreas can be considered sweetbreads. Even though French Master Chef Phillip Boulot says no, there are numerous resources that say yes, such as Larousse Gastronomique, the French encyclopedia of gastronomy.
The etymology of the word "sweetbread" is thought to be of Old English origin. "Sweet" is probably used since the thymus and pancreas are sweet and rich tasting, as opposed to savory tasting muscle flesh. In Old English, sweet was written "swete" or "sweete. "Bread" probably comes from the Old English word "bræd," meaning "flesh.