In a 10- to 12-inch frying pan over medium-high heat, stir bacon often until browned and crisp, 7 to 9 minutes. Remove from heat and, with a slotted spoon, transfer bacon to paper towels to drain. Reserve 1 tablespoon bacon fat; discard remainder. If making up to 4 hours ahead, wrap bacon in paper towels airtight and let stand at room temperature.
Add bell pepper, onion, and thyme to frying pan with the tablespoon bacon fat. Stir over high heat until vegetables are limp, about 3 minutes. Add spinach and stir often until leaves are wilted and liquid is evaporated, about 5 minutes (if all the spinach doesn't fit at once, add half and stir until slightly wilted, then add remaining). Return bacon to pan, mix, and add salt and pepper to taste. Remove from heat.
Lift oysters from any remaining liquid and cut large ones into bite-size pieces; divide equally among four shallow ramekins (3/4 to 1 cup each). Add liquid to other reserved for sauce. Spoon spinach mixture equally over oysters.
Wipe frying pan clean and add Oyster Glazing Sauce, lemon juice, and wine. Whisk over high heat until bubbling, 2 to 3 minutes. Spoon mixture evenly over spinach and oysters to coat. Sprinkle 1 to 2 tablespoons cheese over sauce in each ramekin. Set ramekins on a 12- by 15-inch baking sheet.
Bake in a 450° regular or convection oven until tops are lightly browned and juices are bubbling, 7 to 10 minutes.
Oyster Glazing Sauce. Pour up to 1/2 cup reserved oyster liquid (see notes, preceding) into a 1- or 2-cup glass measure; add enough milk to make 1 cup total. Discard any remaining oyster liquid. In a 10- to 12-inch frying pan over high heat, stir 2 tablespoons butter or margarine and 1/4 cup minced onion until onion is pale gold, 2 to 3 minutes. Remove from heat and stir in 2 tablespoons all-purpose flour, 1 teaspoon dry mustard, and 1/4 teaspoon ground nutmeg. Return pan to high heat and stir until flour is pale gold, 1 to 2 minutes. Remove from heat and add oyster liquid mixture and 1/4 cup whipping cream. Whisk over high heat until boiling; continue to boil, whisking often, until mixture is reduced to 1 cup, 3 to 5 minutes. Scrape into a bowl. If making up to 1 day ahead, cover and chill. Makes about 1 cup.
* Percent Daily Values are based on a 2,000 calorie diet. Your daily value may be higher or lower depending on your calorie needs.