Preheat the oven to 325 degrees.

Heat the oil in a large, heavy ovenproof pot or casserole over medium-high heat. When the oil is nice and hot, add the lamb without crowding and season lightly with salt. Cook, stirring and turning the meat, until the lamb is lightly golden, 5 to 6 minutes. With a slotted spoon, transfer the lamb to a large plate.

Discard some of the fat in the pan. Add the anchovies, garlic, rosemary and chili pepper and cook over medium heat, stirring with a wooden spoon, for 1 to 2 minutes. Return the lamb to the pan and stir the pieces around briefly to coat them with the savory base. Add the wine and vinegar and bring to a simmer. Cover the pot and place on the middle rack of the oven. Bake for 1 1/2 to 2 hours, or until the meat is tender enough to be cut with a fork. At the end of cooking there should be just enough sauce to coat the meat. If too much sauce is left in the pan, transfer the meat to a large, warm platter and reduce the sauce over high heat. Pour the sauce over the lamb, taste for seasoning, and serve.