Step 1: Carefully trim all the fat and outside membranes from the leg of lamb with a boning knife and set aside, covered with plastic wrap.
Step 2: Preheat oven to 350 degrees F.
Step 3: To make the stock, roast the lamb trimmings and meat in a shallow roasting pan for 30 minutes or until brown. Bring water to a boil over high heat, add trimmings, vegetables, herbs, peppercorns, and chiles and reduce heat to medium. Skim frequently until scrum stops rising. Then simmer over low heat, uncovered, for about 6 hours. Add additional water if stock level falls below level of ingredients. Strain and receive stock.
Step 4: To prepare marinade, toast the cumin seeds, peppercorns, oregano and thyme in a small skillet over medium heat. Stir frequently and remove from heat when ingredients smell roasted and before they start to smoke. Add salt and chiles, and grind the mixture into a fine powder. Rub the lamb with olive oil and then with powdered marinade ingredients. Place in refrigerator, preferably overnight, to marinate.
Step 5: Bring lamb to room temperature (4-6 hours before cooking). Preheat oven to 350 degrees F. Place lamb on a rack in a shallow roasting pan and roast for about 1 hour, or until meat reaches an internal temperature of 120 degrees F (if you butterflied the lamb reduce cooking time). Raise heat to 450 degrees F for 5-10 minutes to brown the exterior or until lamb has a temperature of 130 degrees F. Remove from oven and let sit for 10 minutes before carving to allow meat juice to be reabsorbed.
Step 6: While the lamb is roasting, remove ay needles from the cactus pads and wash in cold water. Brush with olive oil and season with salt and pepper. Grill over a low charcoal fire or under a broiler for about 5 minutes per side, or until tender.
Step 7: To make the sauce, pour off the lamb fat from the roasting pan and add 6 cups reserved lamb stock. Reduce of high heat, stirring occasionally, until the stock is reduced by two-thirds. Adjust seasonings.
Step 8: Carve the lamb and serve on a platter with rice. Garnish with cactus leaves and spoon sauce over the meat.
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