However, the visitors had earlier taken a shock lead on six minutes. Rather than pump the ball into the area, Shaun Newton slid a free-kick along the left wing to Matt Fryatt.
The former Carlisle and Walsall youngster reached the byline before sending over an inch-perfect cross for the incoming Gareth McAuley who powerfully headed home from eight yards out past a hapless Carlo Cudicini.
Steve Sidwell tried to restore parity ten minutes later but he hacked a drive high over the Leicester goal from just outside the penalty area.
But normal service was resumed on 20 minutes when a fine break saw Juliano Belletti pass a deep ball to Scott Sinclair, wide on the left, and he headed on to Lampard.
The England man caressed the ball with a deft right-footed volley into the left-hand corner of Marton Fulop's goal from just inside the penalty area to bring the scores level.
Confidence-stricken Andriy Shevchenko had a golden chance to score on 26 minutes. He latched onto a poor back-pass, got past the goalkeeper but failed to drop the ball into an empty net - missing by at least ten yards.
Thankfully for the Blues, Lampard had his scoring boots on and he pounced to ram the ball home from 12 yards out on 30 minutes.
Leicester almost equalised on 44 minutes when Carl Cort headed the ball to Fryatt who drove a shot towards Cudicini who spilled it before managing to grab the ball before it went over the line.
Darren Kenton had the first effort of the second half, on 47 minutes, but he hit a half-volley into Row Z of the North Stand rather than the back of the Chelsea net
But it was Chelsea who almost scored again in the 56th minute when Claudio Pizarro forced Fulop to make a fine save. The keeper then made another stop to prevent substitute Florent Malouda netting seconds later.
Fulop again produced a fine reflex save on 64 minutes to stop Pizarro's glancing shot going in.
Incredibly Leicester equalised on 69 minutes, when substitute Dudley Campbell latched onto a cross by the other sub Levi Porter, and looped a header over the stranded Cudicini from just inside the Chelsea area.
Leicester fans were in dreamland on 67 minutes when the Foxes took the lead as Cort rammed Alan Sheehan's left-footed free-kick home from four yards out.
Cort almost hit number four but his header grazed the top of the Chelsea crossbar on 81 minutes.
But Chelsea fought back with four minutes to spare when Shevchenko blasted home a vicious left-footed drive from just inside the Leicester area.
Three minutes into stoppage time Chelsea won the scintillating tie when Lampard's ten-yard drive bounced off Belletti and past the distraught Leicester defence.