Preheat an oven to 350°F (180°C).
Place the snapper fillets in a shallow glass baking dish and top with the lemon juice and pepper.
To make the sauce, in a large nonstick frying pan over medium heat, heat the oil. Add the onion and garlic and sauté, stirring frequently, for 2 minutes. Add the tomatoes, olives, capers, anchovies, basil, oregano and bay leaf. Bring to a boil, reduce the heat to low and simmer for 5 minutes.
Pour the sauce over the fillets and top with the chopped parsley. Cover with aluminum foil and bake until the fish just separates when pressed with a fork, about 30 minutes. Remove and discard the bay leaf.
To serve, divide among 4 individual plates. Top each with a lemon wedge and a parsley sprig.
Nutritional Analysis per Serving