In a roasting pan, toss the fennel, 2 tablespoons of the oil, 1/2 teaspoon of the salt, and 1/4 teaspoon of the pepper. Set aside.
Dry the lamb shanks on paper towels and season with the remaining salt and pepper. In a Dutch oven, heat the remaining oil over medium-high heat. Brown the lamb until golden, 4 to 5 minutes per side. (Do in 2 batches if necessary.) Remove the lamb and set aside.
Heat oven to 400° F. Pour off the excess oil from the Dutch oven. Stir in the onion, garlic, and rosemary. Cook 1 minute. Stir in the tomatoes, wine, broth, and lamb. Cover and bring to a boil. Place in oven.
Cook the lamb until it is fork-tender, about 2 1/2 hours, occasionally basting with the cooking liquid. After 1 hour, place the pan of fennel in the oven and roast until tender. Serve with the pan juices.
KEEP IT: The lamb and fennel can be stored separately in the refrigerator up to 3 days. To freeze (the lamb only; fennel turns mushy when thawed), divide into individual servings with the sauce. Warm in a 375° F oven for 35 to 40 minutes or until the sauce is bubbling. The lamb keeps in the freezer up to 3 months.