Either roasted chicken or pork is a fine partner for this tangy-sweet side.
In a large skillet, heat oil over medium-high. Add shallots, and cook, stirring frequently, until lightly browned, about 5 minutes.
Add 1 3/4 cups water, orange zest and juice, vinegar, and sugar; season with salt and pepper. Bring to a boil, and cook over medium heat until most of the liquid has evaporated, shallots are tender enough to be easily pierced with the tip of a knife, and liquid is syrupy, 35 to 40 minutes. (Raise heat to high for a few minutes if shallots are tender but not quite glazed.) Serve.
To make peeling easy, place shallots in a bowl of warm water, and soak until skins loosen (they'll be wrinkled and cracked), about 15 minutes. Using a paring knife, slip skins off.