sweetbreads are the thyroid glands of veal. it's actually good stuff. best way I think is to pan sear them, that way you get the golden-brown caramelization of them
They are the thymus, pancreas and sometimes the salivary glands. They are very high in protein and sometimes are fatty, but not always. The taste is very mild. They can be fried, grilled baked or braised. The french seem to have done the most with them. The recipe can be very simple: wash them, poach them in water for about ten minutes, then cut them into pieces of your choosing, then fry, bake, grill or braise. I try to keep it as simple as possible, others like the complex approach.