Cook bacon in a medium skillet over medium-high heat, stirring occasionally, until crisp, 7 to 8 minutes. Use a slotted spoon to transfer to a plate lined with paper towels. (Bacon can be cooked, cooled and covered 6 hours ahead.)
Mix anchovies, garlic, lemon juice, red wine vinegar, mustard and Worcestershire sauce in a blender. Add olive oil and blend until smooth. (Dressing can be refrigerated in an airtight container for up to 3 days. Bring to room temperature before using.)
Combine lettuce and bacon in a large bowl, drizzle with dressing and toss to coat. Add cheese and toss again. Serve immediately, sprinkled with croutons if desired.