In a 1-quart saucepan, heat olive oil, fennel seeds, and bay leaves until hot but not smoking over medium heat. Remove saucepan from heat; let stand 10 minutes.
In large bowl, stir olive-oil mixture with olives, lemon peel, and garlic. Cover bowl with plastic wrap and refrigerate olives at least 24 hours to allow flavors to develop, stirring occasionally. (Or, in large self-sealing plastic bag, combine all ingredients, turning to coat olives well. Seal bag, pressing out as much air as possible. Place on plate; refrigerate, turning bag occasionally.)
Spoon olives into jars for gift giving. Store in refrigerator for up to a month.
Recipe courtesy of Gourmet Magazine