Turn oven on to 375 degrees. Trim ends off beets and scrub skins. Drizzle with olive oil. Wrap two or three at a time in aluminum foil and close tightly. Place in oven directly on rack and roast for 45 minutes to 1 hour 15 minutes. Begin checking after 45 minutes and remove when beets are fork tender. Set aside to cool until you can handle them.
Peel skin off beets under cool, running water until smooth. Dice into 1/2 inch chunks.
While beets are roasting, mince shallot. Whisk together honey and balsamic vinegar. Add shallots, salt, and pepper and whisk thoroughly.
Trim ends off fennel bulb. Wash well. Cut into fourths, then slice very thinly. In a large bowl, combine fennel and diced beets. Drizzle with the honey balsamic dressing. Carefully mix until fennel and beets are fully coated.
Place lettuce on a platter. Top with the beet/fennel mixture, then top with walnuts and blue cheese. Enjoy this plate of impressiveness.