It is often argued that the Last Supper was a Passover Seder, and so must have included a lamb to eat.
Interestingly, the Greek Orthodox Church formally declared at a Synod that the view that the Last Supper was a Seder to be a heresy.
Also, Pope Benedict XVI gave his personal view that there was no lamb served at the Last Supper, which can be read here, http://www.asianews.it/index.php?l=en&art=8936&size=A.
Bible scholars commonly hold that the synoptic Gospels depict the Last Supper as a Passover Seder, while John has it that the Lord died the day before Passover. The main passage of the synoptic thought to clearly indicate it was a Seder is that of Luke 22:7-16. But let's examine the passage:
7. Yet came the day of the Azymes in which the passover was bound to be sacrificed. [That is the first day (singular) of the period of Azymes (plural) during which the Passover lamb was sacrifice. It is saying that it happened during that period, not that day. The lamb was not sacrificed the first day of Azymes. First came the time when leaven was to be collected and taken from the house. Azymes is an archaic English word for the Jewish matzah, unleavened bread.]
8. And He sent Peter and John, saying, Having gone, prepare for us the Passover, that we may eat. [That is, find a place and prepare by removing leaven bread and getting the place made ready.]
9. And they said to Him, Where do You desire that we prepare?
10. And He said to them, Behold, you going into the city, you will meet a man carrying a pitcher of water. Follow him into the house where he goes in.
11. And you will say to the housemaster of that house, The Teacher says to you, Where is the guest room where I may eat the Passover with My disciples?
12. And that one will show you a large upper room which he has spread. Prepare there.
13. And having gone, they found as He had told them, and they prepared the Passover.
14. And when the hour came, He reclined, and the twelve apostles with Him.
15. And He said to them, "With craving have I craved this, to eat the passover with you before my passion?" [This should be understood as a question with both a yes and no answer. No, for this was not a seder meal that our Lord was actually having his disciples prepare. But, yes, because this was the beginning of the communion with He that is the true Passover. ]
16. For I say to you that no more, I will not eat of it until it is completed in the kingdom of God. [From now on they will have that Passover coming from His death and resurrection. As the apostle Paul wrote that Christ is our Passover. 1 Corinthians 5:7]
When read carefully, there really isn't anything in the synoptic Gospels that shows the Last Supper was on Passover night. Considering that the Gospel of John clearly says that the Crucifixion occurred the afternoon before Passover, there seems no reason to doubt that this is so.
Some people, believe that the Lord was an Essene. And the Essenes, who consider the Temple priesthood corrupt, did not participate in the animal sacrifices. But whether Jesus was a Essene, Pharisee, or Sadducee; there's no reason to assume there was a lamb at the Last Supper, except for the Lord Himself.