Rub the trout with the lemon, then squeeze the lemon and reserve the juice. Season the fish with salt and pepper.
Heat the oil. Remove it from the heat and stir in the bread crumbs, garlic and parsley. Sprinkle half of this mixture over the bottom of a greased shallow baking dish. Place the trout on top. Sprinkle the fish with the remaining bread-crumb mixture. Sprinkle with the reserved lemon juice.
Bake the fish for ten minutes, then add sherry. Continue to bake for ten to fifteen minutes, basting occasionally with the sherry. When the fish is done, it should flake easily when tested with a fork.