http://www.straightdope.com/classics/a2_055a.html
Actually, regarding the name sweetbreads, they are named such because the thymus gland really does taste like Sweet Bread… granted, mushy sweet bread, but still yummy if cooked right.
I’m tempted to taste test this myself, but I can’t find sweetbreads at the grocery store. 
Should I check with a butcher? Are they in the gland aisle?
A butcher should be fine.
Remember, sweetbreads (all offal, really) need to be well-cleaned before you cook them…
Soak in very cold water or ice water for a few hours, then clean any membrane, fibers, discoloration, etc. from them.
Try dredging them in seasoned flour and sautee at a good high temp so the outside gets nice and crispy and the inside stays tender - good with a dark stock (veal or duck) and red wine reduction.
Never a big seller, but they sure are good.
The first cite in print for “sweetbreads” is from 1565. The next one is
This from the OED.