I love making lamb shanks. I think it is best to slow cook them on the stove.
Take a large pot and put a bit of olive oil in it, season the shanks with a bit of salt and pepper and brown them in the pot, about 6 minutes. Take them out and put chopped onions and chopped carrots in the pot and saute for a few minutes. Put the shanks back in and add a can of chopped tomatoes, a half a bottle (you could use more) of red wine and a couple cups of stock, anything you like really. Toss in some fresh rosemary and a bay leaf if you like, bring to a boil and then turn down, cover and simmer for about 2 hours. The meat just falls off the bone! When it's done, I usually strain the stock that is in the pot and thicken it with a bit of cornstarch and serve with crusty bread or over pappardelle.