Make adobo: In a dry, heavy medium saucepan over medium heat, roast garlic, turning occasionally, until softened and speckled brown, 12 to 15 minutes. Remove from pan. Add chiles to pan and toast, turning once, until fragrant, about 30 seconds, taking care not to let them burn.
Carefully pour orange juice into pan. Add remaining adobo ingredients, then peel garlic and add to pan. Cover and bring to a boil, then reduce heat and simmer until chiles are softened, about 10 minutes.
Lift out canela and bay leaves and reserve. Cool adobo slightly, then purée in a blender until very smooth.
Preheat oven to 325°. Prepare lamb: Sprinkle shanks with salt and pepper. Heat oil in a heavy, large pot over medium-high heat, then brown 2 shanks at a time, turning occasionally, until golden brown, 7 to 8 minutes per batch. As shanks are browned, transfer to a 9- by 13-in. baking dish.
Discard fat from pot, then add adobo and reserved seasonings and bring to a boil over high heat, stirring. Pour over shanks. If needed, add hot water so liquid comes halfway up shanks. Seal dish with foil. Bake, turning shanks every hour, until meat is very tender when pierced, 2 hours.
Transfer shanks to a platter; cover with foil. Pour adobo into a saucepan. Skim and discard fat. Boil over medium-high heat until thick enough to coat meat, about 10 minutes. Uncover shanks, pour sauce on top, and sprinkle with onion and cilantro.
*Find in the Latino foods aisle or spice aisle of a supermarket, or at a Latino market.
Make ahead: Through step 5; chill, covered, up to 1 day. To continue, reheat about 1 1/2 hours at 325°.
Note: Nutritional analysis is per serving.