Consider the lattice $\mathbb Z^n$ for some finite $n$ ordered by $x\leq y \leftrightarrow \forall i: x_i \leq y_i$. I'm having difficulty thinking of all lattice which is not a sublattice of this.
For example, the diamond lattice is isomorphic to:
(2,2,2)
/ | \
(1,0,0) (0,1,0) (0,0,1)
\ | /
(0, 0, 0)
Are there counterexamples? If not, is there a name for the theorem that they are all isomorphic?
While not every finite lattice is a sublattice of $\mathbb Z^n$, as amrsa pointed out, it is true that every finite poset is a subposet of $\mathbb Z^n$.
Given a finite poset $P$ consider the map $L\colon P\to\mathbb Z^P$ given by $$ L(p)_q = \begin{cases} 1 & \text{if $q\le p$}, \\ 0 & \text{otherwise}. \end{cases} $$ Then $L$ is an order-preserving and order-reflecting injection and hence $P\cong L(P)$ as posets.
Note that this map factors through the boolean lattice on $P$ by sending $p$ to its downset $p_\downarrow=\{\ q\ |\ q\le p\ \}$ which then gets sent to the characteristic function $L(p) = \chi_{p_\downarrow}$.