According to the OED there's no known reason or etymology for thymus or pancreas glands as "sweetbreads." The first reference in the OED is early 16th C.
As Chef Petals said, soaking sweetbreads in milk is a traditional technique. I'm not sure if it originated in France or somewhere else, but it's certainly a part of old line French cooking for a lot of offal -- notably kidneys and liver. Pressing is also SOP with sweetbreads.
I soak, press, dust in flour and saute in butter. Sometimes I use enough butter for a meuniere or meuniere variation, but usually keep it drier. It's actually pretty rich in its own right and doesn't need a lot of dress-up. Garnished with parsley and a squeeze of lemon they are a wonderful sufficiency.
For whatever reason they've become pretty pricey and hard to get in mainstream meat markets. Order ahead from a place that sells good veal.
They're called mollejas in Spanish, cost about a tenth as much when you order them from a carneceria (good luck finding them in stock) and make unbelievably wonderful tacos. Poach them tender, chop and cook them crisp in a pan or on a flat top, cilantro, chopped onions, un poco de salsa and .... que ricos!
Edited by boar_d_laze - 7/31/10 at 6:41pm