Step 1
Preheat oven to 375 degrees.
Step 2
In a large skillet over medium heat, cook bacon until crispy (about 8 minutes); drain on a paper towel and chop into small pieces. (discard bacon fat).
Step 3
Return skillet to medium heat; melt butter; add shallots and Brussels sprouts and season with salt and cayenne pepper. Sauté until tender (about 10 minutes)
Step 4
Remove from heat and drizzle with heavy cream. Top with both cheeses and chopped bacon.
Step 5
Bake in a 10x10 pan for about 12-15 minutes. (broil for 1 minute until cheese is golden).