In a medium skillet cook bacon over medium heat until crisp and brown, about 10 minutes. With a slotted spoon transfer to a paper towel lined plate to drain.
Place mussels in a large pot. Add 1 1/2 cups water, wine, and bay leaf. Cover and bring to a boil over high heat. Steam until mussels open, 3 to 4 minutes. Drain and cool slightly. Remove mussels from shells. Discard half of shells. Place mussels in remaining shells and transfer to a baking sheet.
Simmer cream in a small saucepan until reduced by half, about 2 cups. Prepare an ice bath. Bring a medium pot of salted water to boil. Add spinach and blanch just until wilted, about 15 seconds. Transfer to ice bath to stop cooking. Squeeze spinach very dry. Place in blender.
Heat butter in a medium skillet over medium-high heat. Add shallots and garlic and cook, stirring, until translucent, about 5 minutes. Add to blender with spinach. Add reduced cream, nutmeg, 1/4 cup Gruyere, 1/4 cup cheddar, salt, and pepper and puree until well combined.
Heat broiler. Evenly spoon spinach mixture over mussels. Top with bacon and remaining 1/4 cup of each cheese. Broil until heated through and bubbling, about 2 minutes. Serve immediately.
(c)2003 Martha Stewart Living Omnimedia, Inc. All Rights Reserved.