Frenchman Lacazette's double at The Emirates put Arsenal in front after Mouctar Diakhaby had given the Spanish side an early lead and Aubameyang's late strike gave the London side some breathing space for next week's return at the Mestalla.
Diakhaby punished some limp Arsenal defending to head home in the 11th minute but the hosts responded with Lacazette starting and finishing a flowing move seven minutes later before giving his side the lead with a 25th minute header.
Arsenal had lost three consecutive Premier League games to drop to fifth place in the table with two games to go but manager Unai Emery has a special relationship with the Europa League having won it three times in a row with Sevilla.
He may have to lift the trophy for a fourth time if Arsenal are to upgrade to Europe's elite Champions League competition next season, but the tie was still very much in the balance after Lacazette spurned two glorious second-half chances.
Aubameyang's stoppage-time volley could prove crucial though, leaving Valencia with a tough task to avoid falling at the Europa League semi-final hurdle for the third time.
Chelsea set record with 1-1 draw at Eintracht
Chelsea set a new Europa League record for the longest unbeaten run in the competition’s history after drawing 1-1 with Eintracht Frankfurt in the semi-final first leg. (Photo: Getty Images)
Chelsea drew 1-1 with Eintracht Frankfurt in their Europa League semi-final first leg the same day with Pedro grabbing a crucial away goal for the London club on the stroke of halftime.
The draw meant Chelsea set a record of 16 successive matches unbeaten in the Europa League, breaking Atletico Madrid's mark from 2011-12.
Serbian Luka Jovic put the hosts ahead after 23 minutes, stooping to head past the outstretched Kepa Arrizabalaga off a cross from compatriot Filip Kostic and raising the decibels in a stadium famed for its atmosphere.
The goal was the 21-year-old's ninth of the competition and 26th this season but Frankfurt failed to press home their advantage, running out of energy in a second half dominated by the visitors.
Ruben Loftus-Cheek blasted just wide in the 42nd minute and fed the ball through the Frankfurt defence to Spanish winger Pedro who hammered in a low left-foot shot.
Chelsea were far livelier after the break, in a reversal of the first 40 minutes, with the hosts having a close escape when David Luiz rattled the crossbar from a 55th minute free kick.
Both sides are fourth in their domestic leagues, with the Europa League offering an alternative route to next season's Champions League.
Chelsea manager Maurizio Sarri left Eden Hazard on the bench until the 62nd minute, preferring to rest the Belgian forward for the important Premier League games against Watford and Leicester City.
The second leg is at Stamford Bridge next Thursday.
