How to Make It
Preheat oven to 425°F with racks in upper and lower thirds. Toss together fennel, shallots, bell pepper, lemons, 2 tablespoons of the oil, ½ teaspoon of the salt, and ¼ teaspoon of the black pepper on a rimmed baking sheet. On a separate rimmed baking sheet, rub chicken thighs with remaining 2 tablespoons oil. Season with thyme and remaining ½ teaspoon salt and ¼ teaspoon black pepper.
Roast vegetable mixture on top rack and chicken on bottom rack until vegetables are tender and lightly charred, 35 to 40 minutes. Remove vegetables from oven and transfer chicken to top rack. Increase heat to broil and cook until chicken is cooked through and golden brown, 4 to 5 minutes more.
Add arugula to baking sheet with vegetables and toss until wilted. Squeeze 1 roasted lemon half over vegetables; serve with chicken and remaining lemons.