Preheat the oven to 375 degrees F with 1 rack set on the middle shelf and 1 rack set on the bottom shelf. Fill a large baking dish halfway with warm water and place on the bottom rack.
Butter eight 8-ounce ramekins and place on a baking sheet. Slice the cheese into 1/2-inch cubes and lay on a plate to keep them from sticking together.
Whisk the heavy cream and eggs together in a large bowl. Add 1 teaspoon salt and a pinch of pepper. Add the baguette cubes and ham. Stir to combine.
Melt the butter in a large saute pan over medium-high heat. Add the shallots, fennel and thyme, season with salt and pepper and cook until slightly softened and browned around the edges, 4 to 6 minutes. Add the apples, season with salt and pepper and cook until slightly softened and browned around the edges, 3 to 5 minutes. Stir in the wine and cook until the wine has completely absorbed, 3 to 4 minutes. Discard the thyme sprigs. Add the apple mixture along with the cheese cubes to the beaten eggs, and stir to combine.
Evenly divide the bread pudding among the ramekins. Bake until a paring knife inserted into the center of a bread pudding comes out clean and hot, 18 to 25 minutes, rotating the pan halfway through. Allow the bread puddings to cool for at least 5 minutes before serving. Garnish each ramekin with a fennel frond and serve alongside a lightly dressed green salad.
From Food Network Kitchens