Position a rack in the upper third of the oven and preheat the oven to 400°F (200°C). Line a rimmed baking sheet with parchment paper.
Rinse and pat the fish dry. Place it on the prepared baking sheet. Drizzle 2 to 3 tablespoons of oil over each fish and rub it all over, being sure to get it into the cavity.
Generously season the entire fish, inside and out, with salt and pepper. Place the lemon slices in the cavity, overlapping them slightly.
Bake the fish until it’s slightly opaque throughout and the lemons have wilted, 10 to 15 minutes. It should be almost but not quite completely cooked through.
Turn on the broiler to its highest setting and broil, flipping once, until the skin crisps and the fish is opaque when tested with the tip of a knife, 3 to 5 minutes per side.
Serve the roasted fish with the fennel salad and extra lemon slices, if desired.