Serve the mussels with a grilled baguette for sopping up the broth. This dish is excellent right off the stove or at room temperature.
Heat oil in a large Dutch oven or other heavy pot with a lid over medium heat. When hot, add shallots; cook, stirring often, until fragrant, about 2 minutes. Stir in fennel and 1 teaspoon salt. Season generously with pepper. Saute fennel until it begins to soften, 3 to 4 minutes. Raise heat, and add lemon juice and wine. Bring to a boil, and cook until liquid is reduced by a quarter, about 2 minutes.
Stir in mussels, and cover. Cook mussels until they just open, stirring halfway through to move the ones at the bottom to the top, 4 to 6 minutes. Discard any mussels that haven't opened after 6 minutes. Remove from heat. Stir in lemon zest. Season with salt and pepper. If serving immediately, stir in parsley; if serving at room temperature, let cool slightly before adding parsley.