Clean the chicken livers thoroughly, removing any filaments or green bile bits which could make the livers bitter.
Sauté the onion in olive oil or until lightly golden. Add the chicken livers, the Marsala, lemon zest and the apple. Cook for about 20 minutes on a medium heat, crushing the livers with a wooden spoon until the mix is fairly dry. Add the anchovies and capers to heat through. Season with a little salt, if necessary, and black pepper. Put into a food processor or blender, add the butter and process until smooth. Put into ramekins or small bowls. Sprinkle with the parsley.
Grill or toast the bread on both sides. Pile into a basket and serve warm.