Salems in the Strip District (http://www.salemsgrill.com/) sells excellent lamb (Halal too, if that matters to you). Left side is a cafe with prepared foods, the right side is a butcher shop and market.
They'll cut anything you want, right off the carcass while you watch. There's meat already in the case, but if you want something special (like double-cut chops), you'll just have to ask for them to cut it.
Unless you slaughter and butcher yourself, I don't think it can get too much fresher. Quality/taste is very good. Maybe not quite up there with boutique lamb like Jamison Farm, but really quite good, especially for the price.