Place large, rimmed baking tray on middle rack of oven before preheating to 450 F.
Prepare fennel bulbs by chopping off stalks and setting aside for later. Trim off bottom of bulbs and, using a mandoline or very sharp knife, slice bulbs widthwise to create thin strips. Thinly slice shallots in the same manner as fennel bulbs.
In large bowl, place sliced fennel and shallots and drizzle with grapeseed oil, then sprinkle with salt and pepper. Toss to combine before scattering over hot baking tray in an even layer. Roast fennel for 15 minutes. Give vegetables a stir and continue to roast until they’re just starting to brown and tender but not crunchy, about another 10 to 20 minutes. Set aside to cool enough to handle, about 20 minutes.
While fennel roasts, pick fennel fronds from reserved stalks, roughly chop, and set aside.
Roughly chop cooled roasted fennel and shallots into small bite-sized pieces. Place in medium-sized bowl along with lemon zest, lemon juice, yogurt, and 2 heaping Tbsp reserved chopped fennel fronds. Stir to combine and taste for seasoning, adding more salt, pepper, or lemon juice as needed.
Transfer dip to serving bowl and garnish with drizzle of olive oil and a sprinkling of some of the remaining reserved fennel fronds. Serve alongside your favorite vegetables or crackers for dipping.
Per serving: 105 calories; 7 g protein; 5 g total fat (1 g sat. fat); 8 g total carbohydrates (5 g sugars, 2 g fiber); 128 mg sodium