1. In a large frying pan, cook bacon over medium heat until crisp, about 5 minutes. Drain on paper towels. Discard all but 2 tablespoons of drippings.
2. Add shallots to bacon drippings and cook over medium heat, stirring constantly, until softened, about 2 minutes. Add flour and cook, stirring, for 1 to 2 minutes without allowing to color. Slowly whisk in milk and broth. Bring to a boil, stirring constantly. Reduce heat to medium-low and cook, stirring, until thickened and bubbly, about 2 minutes. Remove from heat and stir in Cheddar cheese, Worcestershire, and cayenne until cheese is melted and sauce is smooth. Stir in bourbon.
3. Preheat broiler. Place toast in 4 individual gratin dishes or a single large baking dish. Arrange chicken on top of toasts, then ladle on sauce. Top with bacon slices, crisscrossed. Sprinkle with Parmesan cheese. Broil about 5 inches from the heat 1 to 2 minutes, until bubbly and sauce is flecked with brown.