A lancet is a device used to draw a small amount of blood to home test an animal's blood glucose level. Lancets look much like a push pin that you would use on a bulletin board: a plastic barrel with a pin sticking out the end.  To use them, you twist off the protective cap on the end. You dispose of lancets as you would a syringe.
You can use a lancet pen (or lancet device) to hold the lancet. This way you get a spring-loaded prick and withdraw; great for squeamish users. The depth of the prick is adjustable. Some caregivers instead "freehand" the lancet; that is, they hold it in their hand without using a pen.
Lancets are relatively inexpensive and can be purchased at any brick-and-mortar or Internet pharmacy that sells diabetic supplies. See comparative prices at Hocks. 
Lancets made by one manufacturers often fit the lancet pens made by another manufacturer.
Lancets may be used more than once, but they do lose their sharpness, making them more painful and less effective with each use. Therefore, you should consider using a new lancet after about 2 uses.
Instead of lancets, some caregivers use previously used syringes to prick their animal for blood glucose testing.
Lancet pens can be set for depth; some come with attachable caps to help control how deeply the lancet will penetrate the skin. The deeper the skin is penetrated, the more blood that will be drawn.
Some pens make a clicking sound when it shoots and some animals are frightened by it. Using a "soft click" pen  can help.