Cut pumpkin in half lengthwise. Scrape out the seeds and stringy membrane. Cut into slices around 1-inch (2.5cm) thick (I find it easier to cut through with the softer cut-side facing up).
Cut the fennel in half, then into slices around ½ inch (1.25cm) thick.
Roast: Arrange the pumpkin and fennel on baking sheet/s, drizzle with enough olive oil to slightly coat them, and toss with your hands until evenly coated. Sprinkle with salt and pepper, and roast until tender to the fork, about 30-40 minutes. Watch out for steam when opening the oven! Set aside to cool. Once cooled, slice the shell off thepumpkin and discard.
Meanwhile, cook the onion: In a large heavy stew pot, toss the onion with a tablespoon of olive oil. Add a teaspoon of salt, freshly ground pepper, thyme leaves, bay leaves and optional chili powder.Cookover medium heat, stirring fairly often, until the onions are starting to caramelize, about 10-20 minutes.
If using a blender or food processor:Purée the onion with the fennel and pumpkin in manageable batches, with only as much stock helpful to blend them. Purée about 1 minute or more per batch, depending upon how rustic or refined you want the soup to be.Transfer the purée to the stew pot. (Or see Note 1)If using an immersion blender: Add the fennel and pumpkin to the onions in the stew pot and purée with as much stock helpful to blend them to desired smoothness. (See Note 1)
Finish the soup: Warm the purée over medium-high heat. Stir in the marsala and let cook a minute. Add the stock, and cook on high until begins to boil. Salt to taste (about 2 teaspoons of salt). Then reduce the heat and simmer, stirring occasionally, for about 20 minutes, or until desired consistency.
To serve: Ladle into bowls, drizzle each with fresh fragrant extra virgin olive oil (or a dab of butter), sprinkle with fennel fronds or pumpkin seeds, and enjoy!
Make ahead:
You can roast the pumpkin and fennel earlier in the day, or a day ahead, and refrigerate. Same with sautéing the onion and puréeing.
Once puréed, refrigerate or freeze in portions without the rest of the liquid. Then, whenever you feel like it, finish (step 7) and serve!
Substituting canned pumpkin purée (not pumpkin pie filling): use 2 cans (15oz/425g each).
Substitutes for marsala: dry vermouth, sherry, port, white wine; or 2 Tbsp/ brandy