Wash the radicchio and escarole -- the chicories -- in advance, and keep them in the refrigerator so the salad will be cool and crisp when served.
Finely grate the zest from the lemon. Squeeze the juice from the lemon, and discard the seeds. Combine the lemon zest, lemon juice, mustard, and anchovies in a small bowl. Whisk in the olive oil, and sprinkle with the salt and pepper.
Discard the outer leaves of the radicchio and escarole. Cut out the tough cores, and tear the leaves into bite-size pieces. Place in a mixing bowl. Season with salt and pepper, and drizzle with salad dressing. Lightly toss to coat. Serve on salad plates.