In a large skillet over medium heat, cook the bacon until crisp. Use a slotted spoon to transfer to a paper towel lined plate. Remove all but 2 tablespoons of the bacon grease.
Preheat the oven to 400F.
Add the Brussels sprouts, sprinkle lightly with salt and pepper, and cook until nicely browned, tossing occasionally, 5 to 7 minutes. Transfer the sprouts to a medium casserole dish and sprinkle with the cooked bacon.
Add the avocado oil to the pan and sauté the garlic until fragrant, about 30 seconds. Stir in the cream and Dijon and whisk to combine. Cook 2 minutes to thicken, then stir in 2 ounces of the cheddar and whisk until melted. Add salt and pepper to taste.
Pour the sauce evenly over the sprouts in the pan and sprinkle the top with the remaining cheddar. Bake 15 to 20 minutes, until the cheese is bubbly and browned.