Heat a grill over medium-hot flames.
Place lamb, shallot, herbs, spices, salt and pepper and feta cheese in a large mixing bowl. Mix together with your hands (or a fork) until evenly incorporated. Shape into four patties. Set aside.
Mix ingredients for yogurt sauce and refrigerate until ready to use.
Oil the grill and cook burgers for 5-7 minutes a side, or until done to your likeness.
Serve immediately, drizzled with yogurt sauce and topped with additional fresh herbs like mint, thyme, or cilantro…and maybe a handful of baby spinach too.