In a spice grinder, coarsely grind fennel seeds. In a small saucepan, combine the ground fennel seeds with water and bring to a boil. Remove from the heat, cover and let stand for 20 minutes. Pour the fennel liquid into a jar through a fine strainer. Add sugar, cover and shake gently until the sugar is completely dissolved. Refrigerate the fennel syrup for up to 1 month.