For the fish stock: Rinse the fish heads and place in a tall 6-quart pot with tails, bones, lobster shell, bay leaves, 1 teaspoon sea salt, black peppercorns, and water. Place over high heat, cover, and bring to a boil. Decrease the heat to maintain a bare simmer and cook for 25 minutes. Strain, discard solids, and set the stock aside.
To make the stew: Place 1/4 cup olive oil in a clean 6-quart pot and set over medium heat. When the oil shimmers, add the onions, fennel, and 1/2 teaspoon sea salt. Saute until semi-translucent, about 10 minutes, stirring frequently. Deglaze the pan with the wine and scrape any bits from the bottom of the pan. Add the reserved fish stock, tomatoes, parsley, orange peel and saffron, if desired. Place over high heat, cover, and bring to a boil. Decrease the heat to maintain a simmer and cook for 15 minutes. Increase the heat to high. Add the remaining 1/4 cup olive oil, the remaining 1/2 teaspoon sea salt, fish, garlic, and cayenne pepper. Boil rapidly, uncovered, for 5 to 7 minutes, stirring occasionally. Remove the pot from the heat, add the mussels and lobster, cover, and let stand until the fish is cooked through and the mussels open, 2 to 4 minutes. Discard any unopened mussels.
To serve: Set the broiler to high. Lightly rub the baguette slices on both sides with the garlic. Place the prepared bread slices on a half sheet pan and broil, 1 inch away from the broiler, for 1 to 2 minutes. Turn the slices over and broil for another 1 to 2 minutes. Top with Rouille, if desired, and serve with fish stew.
Cook the bell pepper over a gas burner set to high, turning every few minutes, until the skin blackens and is thoroughly charred. Remove the pepper to a metal mixing bowl, cover with a spare pot lid, and cool for 5 minutes. Remove the blackened skin from the pepper by rubbing with a clean kitchen towel. Pull out the stem and seed cluster and discard along with the skin.
Place the roasted and skinned pepper, garlic, chile, lemon juice, and salt in the bowl of a mini-food processor. Process until smooth, 1 to 2 minutes. Stop and scrape down the side of the bowl once or twice. With the food processor running, slowly drizzle in the olive oil until thick. Serve with fish stew.
Recipe courtesy of Alton Brown, 2011