Preheat the oven to 425°. On a large rimmed baking sheet, toss the fennel with the olive oil and season with salt and pepper. Bake for 30 minutes, or until the fennel is tender and browned around the edges. Transfer the fennel to a bowl. Add the chunks of goat cheese and toss with the fennel until melted slightly. Season with salt and pepper and serve with lemon wedges.