Preheat oven to 375 degrees.
In a large skillet over medium heat, cook bacon until crispy (about 8 minutes); drain on a paper towel and chop into small pieces. (discard bacon fat).
Return skillet to medium heat; melt butter; add shallots and Brussels sprouts and season with salt and cayenne pepper. Sauté until tender (about 10 minutes)
Remove from heat and drizzle with heavy cream. Top with both cheeses and chopped bacon.
Bake in a 10x10 pan for about 12-15 minutes. (broil for 1 minute until cheese is golden).