Preheat the oven to 400 degrees.
Cook the bacon in a pan on the stove. Remove the bacon, but leave the drippings in the pan.
Clean, trim and half the Brussels sprouts. Add the sprouts, shallot, garlic, salt and cayenne pepper to the pan with the bacon drippings. Stir well.
Cook on low heat for 5 minutes stirring occasionally until the edges of the Brussel Sprouts are browned.
Remove from the heat. Add the cream and mustard and the cheese and stir.
Add this to a 9x9 or casserole oven safe dish. Bake at 400 for 15 minutes or until bubbly and browned.
Serve.