In a small, unoiled frying pan over medium heat, toast fennel seeds, stirring occasionally, until fragrant and a shade darker, 3 to 5 minutes. Put fennel seeds, salt, and pepper in a clean coffee or spice grinder and grind until coarsely ground.
Rinse salmon fillets and pat dry. Dust each fillet generously with spice mix, then rub it in gently. Pour oil onto a platter and lightly coat fillets.
Preheat charcoal or gas grill to medium (you can hold your hand 1 to 2 in. above the grill only 4 to 5 seconds). Cook salmon, skinned (outer) sides up, 3 minutes (close lid on gas grill). Turn salmon over and cook 3 minutes, or until moist and only slightly pink in center (cut to check). Let salmon rest 3 to 5 minutes.
Note: Nutritional analysis is per serving.