there's 3 parts to a fennel bulb, plus the seeds. you can use each part for different things.
joe and vb have two very good ways that i make the bulb. it is great in everything from salads, to tomato sauces, to pan sauteed or broiled fish, and of course soups (anything can go in soup). wherever you use onions, you can often substitute fennel to give the dish a different twist.
i'll try to post my recipe for baked fennel, balsamic, and thyme stuffed whole trout.
the stalks are very good, and can be used in place of celery.
the ferns, if you're lucky enough to get them still attached, can be used like a fresh herb in any dish much like you'd use dill weed. it also makes a really good compound butter.
hth.