Heat a grill to high (about 450° to 550°). Cut zucchini and bell peppers into chunks about 1 in. wide. In a large bowl, stir together yogurt, chopped cilantro, garam masala, salt, curry powder, cayenne, lemon juice, and oil. Add lamb and vegetables and toss to coat.
Thread lamb and vegetables onto 8 (10 in.) metal skewers, keeping some space between the pieces to help them cook evenly.
Grill skewers until beginning to char and easy to turn, about 5 minutes, then turn as needed until lamb is medium-rare and vegetables are lightly charred but still tender-crisp, 8 to 10 minutes total.
Transfer skewers to a platter and top with cilantro sprigs.
*Find at well-stocked grocery stores and Indian markets.