Preheat the oven to 400°F (204°C). Oil a cookie sheet.
Wash the romaine lettuce then slice the heads in half lengthwise, cut side up.
In a small bowl, mix the anchovy paste, garlic and olive oil, and whisk with a fork until smoothly blended. With a pastry brush or a fork, brush the anchovy mix on the lettuce, dividing it evenly. Sprinkle with black pepper on top.
Bake until wilted and brown at the edges, about 10 to 15 minutes, depending on lettuce size.
Serve as a side to any meat or fish main course. Great with simple proteins like the Homemade Chicken Sausage Patties (page 29).