In a cast-iron skillet over low heat, toast cumin and fennel seeds until fragrant, 1 to 2 minutes. Transfer warm spices to a spice grinder or use a mortar and pestle to pound them until fine. Combine with the ground coriander, cinnamon, sumac, paprika, and cayenne pepper.
In a bowl, beat the chilled ground lamb with the spices, cilantro, and salt. Pinch off a little of the mixture, form into a patty, and fry in olive oil to see if you like the sausage. Adjust the seasonings, if necessary.
Form sausages into patties to cook immediately or for storing in the refrigerator or freezer, or proceed to stuff the mixture into casings. Chill well before stuffing into casings if going that route.
Serve Merguez Sausage with a fresh salad and a dipping sauce made from harissa chili pepper paste and yogurt.