Step 1 Cut garlic "studs" by cutting the cloves into thick slices and then cutting the widest slices in half or into thirds. Separate the rosemary sprigs into individual bunches of leaves. Cut the anchovy fillets into small (roughly one-fourth inch) pieces.
Step 2 Stud the lamb; starting at the wide, hip end of the lamb, poke a small sharp knife about one-half inch deep into the leg. Give the knife a twist to create an opening. Press a piece of anchovy fillet into the hole. Next, press a rosemary sprig into the hole. Finally, press the garlic stud into the hole, securing the rosemary. A tuft of rosemary and a tip of garlic may protrude from the hole.
Step 3Repeat at regular 1 1/2 - to 2-inch intervals for the length and breadth of the leg, except those places where the bone is so close to the surface you can't insert the knife.
Step 4Season the lamb generously with salt and pepper and rub with olive oil. Leave on a platter at room temperature for at least an hour before roasting. Meanwhile, heat the oven to 450 degrees.
Step 5Place the lamb on a rack in a roasting pan. When the oven is ready, roast for 20 minutes, then reduce the heat to 325 degrees. Cook until a meat thermometer inserted deep into the leg reaches 130 degrees, 75 to 90 minutes.
Step 6Remove the lamb to a carving board and tent it loosely with foil. Let it rest for at least 15 minutes before carving.