Preheat oven to 350 degrees. Cook bacon in 12 inch skillet until crisp and drain on paper towel. Remove and discard all but 2 teaspoons of bacon drippings from skillet. Add onion and pepper to skillet. Cook 5 minutes over medium heat or until vegetables are just tender, stirring occasionally. Add collard greens and garlic; cover and cook 10 minutes or until tender, stirring occasionally. Remove from heat.
Add cream cheese, Monterey Jack cheese, sour cream and Cajun seasoning to the collard mixture, stirring until combined. If desired, trim fatty part from bacon and discard. Crumble remaining bacon and add to collard mixture. Spread mixture in 1 1/2 quart casserole dish or 9 inch pie plate.
Bake, uncovered, 10 minutes or until warmed through. Serve with vegetable dippers or bread sticks.