In some of the major religions (Judaism, Christianity, and Islam), lambs were sacrificed as a way to rid a person of his/her sins. The person would place his hands on the lamb, thus transferring his sins to the animal and the ritual killing would complete the transference. And the lamb itself would not know that it was about to be sacrificed. Both of these points are significant to the title of Dahl's story.
Consider the notion of "sacrifice" in metaphorical as well as literal terms. Mary is the first sacrificial lamb. Waiting at home, perfectly content, she is led to be rejected by her husband, Patrick. She had no idea this was coming. And in a way, Patrick is relieved in confessing his sin to her. He basically transfers the burden of his sin on to her.
Patrick is then literally sacrificed when Mary kills him. So, he is the next "lamb." The detectives are the next lambs because they are unknowingly led astray as well. Mary tricks them into eating the evidence (the leg of lamb). And although this does not absolve her sin, it does erase it in the minds of the detectives. So, in the eyes of the law, Mary has transferred her sin to some other potential suspect.
One might also suggest that the reader is a potential fourth lamb. If the reader finds himself/herself rooting for Mary at some point, following the murder, the reader has been led (by Dahl) to root for a murderer. In each of these examples, each particular "lamb" is used, killed, or tricked.
The lamb was used to kill Patrick. So, an actual lamb was sacrificed as well. And there is the overt reference to the nursery rhyme "Mary Had a Little Lamb." This allusion adds to the morbid humor of the story. Mary had a little lamb and she used it to kill her husband.