Preheat the oven to 350 degrees F and arrange an oven rack in the middle of the oven. Get yourself a paper bag large enough to hold the asparagus comfortable. Throw the asparagus in there and drizzle the outside of the bag with olive oil to keep the bag from burning. Sprinkle the asparagus with the salt and cracked pepper and toss in the lemon slices and bay leaf. Close the bag, folding it over several times and creasing the folds well to hold the steam in. Put the pan on a baking sheet, drizzle it with more olive oil, stick it in the oven, and bake for 20 minutes.
Take the baking sheet out of the oven and set it on top of the stove. Set a serving plate next to the stove. Using a kitchen towel or a pair of kitchen tongs, raise the bag over the plate, open the bag, and slide the asparagus out onto the plate. Drizzle with a little more olive oil and serve hot.