Butterflying a leg of lamb helps it to cook faster and more evenly. You can have your butcher do it, but it's not hard to do yourself, and the process leaves you with a lamb bone to use for making stock or flavoring soup.
There are two main reasons to butterfly: 1. If you plan to grill the whole leg flat; or 2. If you plan to tie the butterflied leg up with kitchen string and roast it in the oven. To do it, start by slicing straight down toward the bone. Continue making shallow slices along the length of the meat until you reach the bone. Once you've exposed the bone on one side, make slices as close to the bone as you can, freeing the meat bit by bit until the bone can be removed cleanly.
Next, cut into the meat as if you were unrolling a scroll that was stuck together—the goal is to make the entire surface of an even thickness—removing any excess or hard bits of fat and sinew that won't melt away as the meat cooks. Finally, make slashes into the meat with your knife. This increases the surface area, allowing the meat to soak up flavor from marinades or rubs and helping it to cook more quickly.