Preheat the oven to fan 180C/conventional 200C/gas 6. Trim away the stalk ends of the heads of chicory, discard any limp outer leaves and quarter the vegetables lengthways.
Brush a shallow baking dish with 2 tbsp olive oil, then add the chicory. Tuck the bay leaves and thyme sprigs in between the chicory, scatter the peeled whole garlic cloves on top and drizzle over 2 more tbsp olive oil and salt and pepper to taste. Cover with foil and bake for 30 minutes.
Cut the bacon into strips and scatter over the chicory, then return the dish, uncovered, to the oven for about 30 minutes until the bacon is crisp. Serve straight from the oven, with hunks of wholemeal bread.