Preheat the oven to 375°. In a large ovenproof skillet, heat the vegetable oil. Season the chicken with salt and pepper and dust lightly with chili powder. Add the chicken to the skillet and cook over moderate heat until well browned, about 4 minutes per side. Transfer to a plate.
Add the onion, garlic, jalapeńo and thyme sprigs to the skillet and cook over moderately low heat, stirring occasionally, until the onion is softened, about 8 minutes. Add the bell pepper, anise seeds, cayenne and the 1/2 teaspoon of chili powder and cook, stirring, until fragrant, about 1 minute. Add the chopped tomatoes, raise the heat to high and cook until bubbling. Add the chicken stock and bring to a boil. Stir in the rice and 1/2 teaspoon of salt and bring to a simmer. Arrange the chicken pieces on the rice, skin side up. Bake in the upper third of the oven for about 25 minutes, until the chicken is just cooked through and the rice is tender and has absorbed the stock.
Preheat the broiler. Broil the sofrito 6 inches from the heat for about 2 minutes, until the chicken skin is crisp. Transfer the chicken to a plate. Discard the thyme sprigs, stir the lemon juice into the rice and scatter the almonds on top. Spoon the rice onto plates, add the chicken and serve.