Those are called anthers. They hold the pollen. When you cut, or buy, lillies, pull the anthers off of the ends of the fillaments (the fine stem-like things that hold the anthers). Wear gloves or use a tissue to pull the anthers or you're fingers will be very stained by the pollen and it's hard to wash off. This should be done with all lillies as the pollen on the anthers, when it falls off, will also stain the flowers and look unattractive.