How to Make It
Preheat the oven to 400°. Halve the squash lengthwise and scoop out the seeds. Set the squash on a rimmed baking sheet, cut sides up. Put a piece of butter in each cavity and season generously with salt and pepper. Drape the squash halves with the pancetta slices. Roast the squash for 45 to 50 minutes, or until tender.
Transfer the pancetta to paper towels to drain. Crumble and set aside. Scoop the squash out of the skins into a bowl.
In a large, heavy stockpot, heat the 2 tablespoons of olive oil until shimmering. Add the onion, season with salt and pepper and cook over moderately high heat, stirring, until softened but not browned, about 6 minutes. Add 3 of the thyme sprigs and the bay leaf. Stir in the squash and the stock and bring to a boil over high heat, stirring frequently. Reduce the heat and simmer the soup for 15 minutes, stirring occasionally.
Pick out and discard the thyme sprigs and bay leaf. Working in batches, transfer the soup to a blender or food processor and puree until thick and creamy-smooth, about 1 minute per batch. Transfer the soup to a clean saucepan. Stir in the heavy cream and season with salt and pepper (and sugar if desired).
Reheat the soup if necessary. Ladle into 12 bowls. Garnish the soup with the pancetta, the leaves from the remaining 3 thyme sprigs and a drizzle of olive oil.
Cooking Club Tip: When making squash purées and soups, first bake the squash in the oven until tender so it's easier to remove the flesh from the skin. The smooth varieties can be peeled; for ridged or nubbly squash, simply scoop the flesh out with a spoon.