The dictionary software 'WordWeb', when searched for the word 'lest' shows this as one of the sentence examples under the meaning 'In case' : "he worried lest he should be late."
Now, I have even seen usage of the word in this manner: "He worried lest he be late."
Which of the above is correct, if at all it is a matter of correctness? Or which is better? Or does it not matter at all?