Split lobster tails lengthwise; cut through upper shell and meat to, but not through, bottom shell. Press shell halves open. Place in a 13- x 9- x 2-inch baking pan; sprinkle with salt, pepper, 1 tablespoon lime juice, and Worcestershire sauce. Dot with 2 tablespoons butter; sprinkle with cheese.
Pour water in bottom of pan; add remaining lime juice and butter to water. Broil 4 inches from heating element 4 minutes. Top with bacon, and broil an additional 3 minutes.
Remove lobster tails to a serving platter. Pour sauce in pan over broiled lobster, and serve.