Using a small sharp knife, remove the peel and bitter white pith from the lemons; thinly slice the lemons crosswise. Transfer to a bowl, toss with the olive oil, sea salt and pepper and let stand for 20 minutes.
Meanwhile, light a grill or preheat the broiler. Set the mushrooms in a large shallow dish, gill side up. In a small bowl, combine the onion, anchovies, vinegar and Marsala. Pour the marinade over the mushrooms and let stand at room temperature for 20 minutes.
Grill the mushrooms over a medium-high fire or broil them for about 15 minutes, turning, until tender and lightly charred. Transfer the mushrooms to a large platter, cover loosely with foil and keep warm. Prick the sausages all over with a fork and grill or broil for 10 to 15 minutes, turning, until cooked through. Add the sausages to the platter. Season the lamb chops with salt and pepper and grill or broil for about 3 minutes per side for medium rare; arrange the chops on the platter. Mound the arugula on the platter, pile the lemon salad alongside and serve with Almond Mint Salsa.
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