All cells have lysosomes, organelles which contain enzymes used to digest materials that are either created inside or brought into the cell. For many cells, this is just a way to break down foods, but for macrophages the cell's main job is to ingest and break down bacteria and other foreign bodies. Because of this, we have a term specifically for the digestive process of macrophages, in which we find digestive sacs known as phagolysosomes. A phagolysosome is formed when a phagosome, which is the membrane-enclosed packet containing the material ingested, fuses with a lysosome. To see an animation of this process, click on the link below.
Since macrophages engulf a lot of bacteria and other particles, they create a lot of phagosomes. Therefore we would expect to see a lot of lysosomes present inside a macrophage, so that they could join with the phagosomes and form phagolysosomes. The other link below provides detailed information on the chemical digestion process that occurs within the phagolysosome.