In a skillet over medium heat cook bacon until crisp. Remove bacon from skillet, reserving drippings. Drain bacon on paper towels and crumble bacon.
Add fennel and onion to pan; sprinkle with salt and cook until browned (8-10 minutes). Transfer to bowl and season with pepper and stir in the cilantro.
On a greased (or coated with Pam) and foil-lined baking sheet, place two trout fillets, cover with the vegetable mixture and then cover with the remaining fillets. Roast for 15 minutes or until opaque. Serve with lemon wedges and crumbled bacon.