Put the trout in a shallow baking pan (1-inch deep) or a large heavy ovenproof skillet, then pat dry and season the cavities with salt and pepper. Put 2 sprigs of rosemary inside each cavity and season outside of trout with salt and pepper; then wrap 3 bacon slices around each.
Broil the trout 5 to 7 inches from heat until skin and bacon are crisp, about 5 minutes. Turn over gently with a spatula and broil 2 minutes more. Add lemon slices to pan in 1 layer alongside each trout and continue to broil until the trout are just cooked through and the rest of the bacon is crisp, 2 1/2 to 3 minutes more.