That one's in the FAQ, I'd check there. ;)

http://www.reddit.com/r/AskHistorians/wiki/faq/europe#wiki_lions_in_european_heraldry

I would also strongly recommend the book The Bear: History of a Fallen King by Michel Pastoureau. For much of European and Roman history, the bear was considered the proper symbol of royalty and prestige (including King Arthur if I recall correctly) but due to a variety of factors it was supplanted by the lion as the so called "king of the jungle" in our imagery and myths. As Pastoureau argues very convincingly, the church waged a campaign against the bear for sexual immorality, believe it or not, using an observation from Pliny that bears copulated missionary style like humans. The lion apparently had no such baggage. After all, bears were quite common in Europe and were considerably more fearsome until changing landscapes and pressure from human development altered their diet from mostly meat to mostly plants.

There were lions in Europe, though not in Western Europe during the middle ages. Lions were found around the eastern part of the Mediterranean during the Classical era, including in Greece. They were imported by the Romans for games. Some survived in the Caucasus until later. And they feature in both Judeo-Christian and Roman imagery. European countries inherited all this. Lions were extinct in the region, but their cultural memory lived on. Plus, they occasionally got imported from North Africa... one was brought to England in the 1200's