Step 1Trim the fronds from the fennel and mince. Measure one-half teaspoon and place in a medium bowl (discard any remaining fronds, or save for another use). To the medium bowl, add the shallots, lemon zest and juice, one-fourth teaspoon salt and pepper to taste. Whisk in the olive oil slowly to emulsify and form a dressing. Taste, and adjust the seasoning as desired.
Step 2Trim the fennel and quarter it lengthwise. Slice the fennel lengthwise into paper-thin strips; if possible, shave using a mandoline. You will have about 3 cups. Place the fennel in a large bowl and toss with enough dressing to lightly coat. Taste and add additional dressing if desired. Cover the fennel salad and any remaining dressing with plastic wrap and refrigerate.
Step 3Remove the scallops from the refrigerator and set them out to warm slightly while you slice the orange.
Step 4Supreme the orange: Slice the top and bottom from the orange. Using a sharp paring knife, slice lengthwise between the flesh and rind to remove the peel, rind and outer membrane. Slice the flesh of each segment from the center membrane, so each segment is "skinless."
Step 5Season the scallops with a good pinch of salt and a few grinds of pepper on each side.
Step 6Prepare the smoker: Spread about 2 teaspoons wood chips in the center of the base of the smoker, directly over the burner. Place the drip pan (if using) over the chips, and a rack on top of the drip pan. Place the scallops on the rack (place them off to the side, not directly over where the chips will be smoking), leaving enough room around them so all sides smoke evenly. Place the lid on the smoker, leaving about 2 inches uncovered.
Step 7Place the smoker over medium heat just until the chips begin to smoke. Cover the smoker entirely with the lid and reduce the heat to medium-low. Continue to smoke the scallops just until they firm up slightly and are barely opaque in the center, about 15 minutes. Remove from heat and uncover the smoker.
Step 8Divide the fennel salad between 4 chilled plates. Place a few orange segments over each salad, and top each portion with 2 smoked scallops. Sprinkle a few almonds over each, and drizzle any extra salad dressing around each plate. Serve immediately.