Preheat your oven broiler on high and arrange your top oven rack as close to the broiler as possible.
Get out a rimmed baking sheet large enough to hold the lettuce, and set aside. Rinse the lettuce to remove any dirt or grit. Pat dry with paper towels.
Slice each head lengthwise in to two pieces, leaving the root end intact to hold the leaves together. Lay the four halves cut side up on the baking sheet. Set aside.
In a small bowl, mix the garlic, olive oil, anchovy paste, salt and pepper. Using a pastry brush or a spoon to drizzle, coat the cut sides of each of the lettuce halves with the mixture, making sure to go all the way to the ends and in between some of the layers too. Sprinkle each half evenly with the parmesan cheese.
Broil, just until the edges start to char and the lettuce softens slightly--no more than 4 to 5 minutes. Keep an eye on it and check it often! Serve warm with a squeeze of lemon or some crushed croutons over the top.