The term sweetbreads refers to thymus glands and pancreas of young animals such as calves, lambs or pigs. These meats are very perishable and should be used the same day of purchase. Typically sweetbreads are poached, sauteed or braised. These tend to be a "gourmet" product and not an everyday food. Sweetbreads are very high in cholesterol.
Purchase sweetbreads from a reliable meat market with good turnover to insure the meat is fresh. If your local store does not stock them you can usually request them from the butcher.