Preheat oven to 400ºF (200ºC). Lay the bacon out in a single layer on an aluminum foil-lined baking sheet and bake until golden brown and crispy, about 20 minutes.
In a medium mixing bowl stir together the chicken, mayonnaise, shallot, lemon juice, mustard and cayenne until completely combined. Season to taste with salt and pepper black pepper.
Preheat oven to broil. Lay the bottom halves of the bagels out on a baking sheet. Top each bagel half with a scoop of the chicken salad and top with a slice of cheese.
Broil until the cheese is melted, about 1 to 2 minutes. Top with bacon and close up the sandwiches. Slice in half and serve.
Video
Notes
Toast the bagels before assembling the sandwiches to keep the chicken salad from making the bread soggy.