Place the garlic, oregano, thyme, 1 tablespoon olive oil and the lemon zest (reserve the juice for later) in a mini or regular sized food processor, and season with salt and pepper. Process until it becomes a paste (if you are a mortar and pestle type of cook, you can use that instead).
Rub about 2/3 of the herb paste on the top of the lamb, the side that was cut for butterflying. Then roll up the lamb, and tie it well with kitchen twine at 1 ½ inch intervals to keep it tightly rolled. Rub the rest of the paste over the outside of the lamb, place in a pan or container, and refrigerate from 1 hour to 24 hours uncovered.
Take the lamb out of the fridge and let it come to room temperature while you preheat the oven to 450°F. Place the lamb in a roasting pan and roast for 20 minutes, then reduce the heat to 375° and roast for another 50 to 70 minutes. An internal thermometer inserted into the thickest part of the roast should read 125°F for medium rare.
While the lamb is cooking or resting, make the Creamy Feta Sauce. In a small bowl combine the Greek yogurt, 2 tablespoons olive oil, 1 tablespoon fresh lemon juice, dill, and minced garlic. Add the feta and stir and lightly mashing it into the mixture, using a fork. Taste and season as needed with salt and pepper. Spring over some small dill sprigs, if using.
When the lamb is cooked let it rest on a cutting board for 20 minutes. Slice the lamb against the grain, remove the string, and transfer to a serving platter. Sprinkle the reserved 1 tablespoon lemon juice over the sliced lamb and give the slices a light seasoning of salt and pepper. Serve warm with the feta sauce on the side.