The Mountain Lion Cubs were the children of the mountain lion killed by Stan in "Woodland Critter Christmas".
Background
In "Woodland Critter Christmas", Stan is forced into looking for and killing the Mountain Lion that the Woodland Critterssay keeps eating the virgin critter every Christmas. After Stan had killed their mother they walk up to her body begging for her not to leave them and began to cry. Stan realized what he had done and felt extremely guilty.
When Stan goes back to the Woodland Critters he is informed that their "savior" is the Anti-Christ, the Son of Satan. With some nagging from the Narrator, Stan goes back to tear down the manger he built for the critters, but was stopped by their Satanic powers. The Narrator reminds Stan of the three cubs that were still up on the hill, so Stan heads there for some help. The cubs tell him that they can't kill them because they're still just babies with baby teeth and little claws. Stan then takes the cubs to learn how to perform an abortion at a clinic.
When they go back they find out that the Anti-Christ was already born and that they were going to use Kyle to be a vessel. It turns out that this was all a story written by Cartman during Mr. Garrison's class. Kyle didn't want Cartman to continue because he thought it was just another way for Cartman to make fun of him for being Jewish on Christmas. The students egged him on and Kyle finally let Cartman continue with his story.
The Cubs eventually give Kyle an abortion through his anus because the Anti-Christ was inside him. After Santa (who arrived earlier and shot some of the Woodland creatures with a shotgun) smashed the Anti-Christ with a mallet, he goes to the Cubs lair and brings their mother back to life. The cubs are happy at the end with their mother being alive once more and Stan goes home for Christmas.
Appearance
They all share the same appearance. They have childlike faces, blonde fur (which varying in tint among the three cubs), black and white ears, brown spots, and tufts of white hair on the top of their heads.
Personality
They are very childlike, although considering their age, this is acceptable behavior. They also do not seem queasy, having no qualms about learning how to perform abortions as well as perform them themselves.