Trim excess fat from chicken thighs and season with 1 teaspoon salt and pepper.
Heat oil in a Dutch oven or deep ovenproof skillet over medium-high heat. Add half the chicken and cook until golden brown, 4 to 5 minutes on each side. Transfer to a plate. Cook remaining chicken and transfer to plate. Combine onions and carrots in pan. Add remaining salt and sauté about 6 minutes. Add garlic, bay leaves and sherry; cook 2 minutes, scraping pan to loosen browned bits. Add paprika, chili powder, oregano and cayenne and stir until vegetables are coated with spices.
Preheat oven to 325°F.
Add tomatoes (using your fingers to break them up) and their juice and cook 2 minutes. Return chicken to pan; cover and bake 2 1/2 hours. Serves 4.