Remove tough outer leaves from the fennel bulbs; halve bulbs lengthwise, then cut crosswise into 1/2 inch wedges.
Combine fennel, milk, and 2 tablespoon butter in a 4 quart saucepan; cook over medium high heat, stirring occasionally, until just tender, about 30 to 45 minutes.
Use a slotted spoon and transfer fennel to a 2 quart baking dish; pour 1 cup of the milk mixture over; add fennel seeds and season with salt and pepper.
Sprinkle with Parmesan cheese, dot with remaining butter, and bake until golden brown and bubbly, about 20 minutes.