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Cut the avocado in half and scoop out the flesh, leaving the skin intact, and roughly dice the avocado. Place avocado in an ovenproof dish, and add the crumbled blue cheese, walnuts, pancetta, and Worcestershire sauce and season with salt and pepper.
Spoon the mixture back into the avocado shells and bake for 5 minutes. Remove from oven and place in the broiler for 2 minutes right before serving.
To serve, place on a serving tray with sliced baguette or crackers.