Heat oven to 350 degrees. In a small pan over medium-low heat, toast fennel seeds, swirling the pan; set aside. In the bowl of an electric mixer fitted with the paddle attachment, beat butter and sugar on medium-high speed until smooth, about 2 minutes. Add eggs, extracts, and zest, and beat on medium speed until creamy and light, 2 to 3 minutes.
In a medium bowl, combine remaining ingredients. Add to butter mixture. Mix on low speed until just incorporated. Remove dough to a clean surface; divide into quarters. Form into 9-by-1-inch logs, place on an ungreased baking sheet 2 inches apart, and bake until lightly browned, 25 to 30 minutes.
Remove from oven, and cool slightly. Reduce oven temperature to 275 degrees. Using a serrated knife, cut logs on the diagonal into 1/2-inch thick slices. Arrange biscotti on their sides on a baking sheet. Return to oven, and bake until golden, about 30 minutes. Turn biscotti over, and bake for 30 minutes more.