Round out your holiday menu with this striking side. These slow-roasted red onions are stuffed with a breadcrumb-parsley filling that is basted with the sweet onion as it cooks. They make a great compliment to mashed potatoes and gravy.
Pulse bread in a food processor to coarse (pea-size) crumbs. Spread breadcrumbs on a rimmed baking sheet and let stand at room temperature until stale, at least 12 hours and up to 1 day. (You can also quickly dry out breadcrumbs on a rimmed sheet by baking them in a 225°F oven, stirring once, until dry and beginning to crisp but not develop color, 25 to 30 minutes.)
Preheat oven to 400°F. Trim root ends of onions just enough to stand upright but remain intact. Cut top inch off of onions and scoop out several layers from centers with a teaspoon or melon baller; finely chop removed layers and reserve for stuffing mixture (you should have about 1 1/2 cups).
Arrange onions, hollowed-sides up, in a baking dish just large enough to hold them snugly side-by-side. Pour a few tablespoons of water into dish. Drizzle onions with oil and season with 1 teaspoon salt. Cover dish with parchment-lined foil. Bake 30 minutes. Uncover and continue baking until tender but still holding shape, 20 to 25 minutes more. Remove from oven; increase temperature to 425°F.
Meanwhile, heat 2 tablespoons oil in a small skillet over medium-low. Add reserved chopped onion and cayenne. Cook, stirring occasionally, until soft and golden, about 15 minutes. Transfer to a bowl; let cool slightly. In a food processor, pulse breadcrumbs and parsley just to combine and break down parsley (do not over-process; crumbs should still be coarse). Transfer to bowl with onion mixture, along with lemon zest and remaining 2 tablespoons oil; stir to combine and season to taste. Divide stuffing evenly among onions and drizzle with more oil.
Roast until stuffing is golden brown on top, about 25 minutes (if bottoms become dry, add a few more tablespoons water to dish; if tops are browning too quickly, tent with foil). Serve warm.