Here's what PlanetMath says:

"There is no technical distinction between a lemma, a proposition, and a theorem. A lemma is a proven statement, typically named a lemma to distinguish it as a truth used as a stepping stone to a larger result rather than an important statement in and of itself. Of course, some of the most powerful statements in mathematics are known as lemmas, including Zorn's Lemma, Bezout's Lemma, Gauss' Lemma, Fatou's lemma, etc...."

It appears that lemmas sometimes turn out to be more important than the author originally thought, so sometimes lemmas turn into major theorems.