This paper introduces the Federated Lab (in short, FedLab), a virtual platform enabling shared research and experimentation on Internet of Things (IoT) devices, protocols, and functionalities in a network of geographically-distributed peers. In a nutshell, the FedLab allows multiple peers to share heterogeneous IoT hardware (devices) and software functionalities (capabilities) with a set of authenticated partners, easing the design of geographically-distributed experiments and providing a platform that enables joint research. The FedLab is conceived with ease of deployment and use in mind, focuses on compatibility-by-design, and it is easily deployable on multiple host operating systems as a plug-and-play tool. Besides motivating the design of the FedLab and its requirements, the paper also provides two use cases of the FedLab for the IoT Security research domain, demonstrating the potential of the FedLab to enable actual joint research. Finally, we release the source code of the components of the FedLab as open-source, to foster its independent adoption, deployment, and extension by the research community.