We just started exploring the possibilities with fennel, and only used it thrice* so far, but I already know what my favorite fennel recipe is:
Roasted fennel with balsamic vinegar and olive oil!
So simple: just cut the fennel in half or quarters, place it in a casserole dish, spray olive oil on top, smother with drizzles of vinegar, sprinkle some salt, and cover. Bake at 375 degrees Fahrenheit for 45 minutes or until nice and soft all the way through. We baked it at the same time Mark's Best Roasted Potatoes Ever were baking, and enjoyed a very yummy dinner.
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* The first time out of the tree was a failing attempt to make this very recipe -- covering the casserole dish is crucial!