Into a large pan of water, put a cut lemon, a handful of peppercorns, a chopped onion, and 3 or 4 bay leaves and bring to the boil. Lower in the lobsters to be completely submerged in the liquor and bring back to the boil rapidly. Cook for 6 minutes and remove them with a slotted spoon to iced water to chill them thoroughly. Remove the lobsters from their shells using a sharpe pair of kitchen scisors and break up the the shells for the sauce with a clever or a steel. In a large pan or wok; melt the butter and fry the onion, celery, celeraic, fennel, and pepper until just changing colour. Add the broken shells and continue cooking to release the flavour. De-glaze with the madeira and then add the wine scraping up all the crusty bits of flavour into the liquid. Add the stock and reduce. Add the peppercorns and cream. Split the vanilla pods lengthways and scrape out the seeds. Put seeds and pods into the liquid. Cook down until the cream has caramalised slightly and the flavour deepened. Pass through a conical sieve into a clean pan, pushing through solids with the end of a rolling pin to force all the flavour into the sauce. Put the vanilla pods back into the sauce, add the sprigs of fennel leaf and simmer together until the flavour is right. Season carefully. Remove the fennel and vanilla and serve with the lobster which has been painted with melted butter and re-heated rapidly through a very hot oven. Per serving: 295 Calories (kcal); 15g Total Fat; (57% calories from fat); 3g Protein; 21g Carbohydrate; 38mg Cholesterol; 156mg Sodium Food Exchanges: 1/2 Grain(Starch); 0 Lean Meat; 1 1/2 Vegetable; 0 Fruit; 2 1/2 Fat; 0 Other Carbohydrates Converted by MM_Buster v2.0n.