Preheat the oven to 180°C/gas 4. Cut a piece of baking parchment the same size as the baking dish. Cut the stem end off the shallots, but not the root end. Peel the shallots, keeping the root bit intact (this helps them stay together as they cook). Brush half the oil over the bottom of the baking dish, then place the lemon zest, bay leaves and rosemary in it and sit the shallots on top. Season generously with salt and pepper, spoon the vinegar in, together with 2 tablespoons of water, then drizzle the remaining olive oil over the shallots and place the baking parchment on top.
Seal tightly with foil (the parchment between the vegetables and the foil will prevent it sticking to the top of the vegetables) and bake for 1½ hours (around 20 minutes less for smaller shallots). Take the foil and parchment off, baste the shallots, and cook for a further 15 minutes to colour them slightly. Eat while still hot, although they reheat well.