In a medium bowl combine the rosemary, salt, cayenne, black pepper and lemon zest; mix well and set aside.
Set a rack in the middle of the oven and preheat the oven to 350 degrees F.
Place the lamb on a rack set in a roasting pan. Using a sharp knife, cut 20 slits into the lamb, and stuff each hole with a piece of garlic. Coat the lamb with olive oil and then sprinkle the spice blend mixture all over. Pour the wine into the bottom of the pan and cover with foil.
Cook the lamb until the internal temperature is 130 to 140 degrees F for medium rare, 2 hours.
Rest the lamb for 10 minutes, then slice into 1/2-inch slices to serve.