Preheat the oven to 220 degrees Celsius/ 430 degrees Fahrenheit. Butter a small casserole dish. Bring a large pot of water to a boil.
In the meantime clean the sprouts, if necessary. Remove their outer leaves and the thickest, lower part of the stem. If the sprouts are very large, halve them. If I use frozen sprouts, I don't bother to defrost them, I add them to the water in their frozen status.
When the water starts to boil, add some salt, and then the cleaned Brussels sprouts. Cook for about 4-5 minutes and already check the consistency of the sprouts, they should still be rather firm, they will continue cooking in the oven and they should not get too mushy.
Melt the butter in a small saucepan. Add the finely chopped onion and the bacon cubes and cook until the onion is translucent.
Add the heavy cream and the grated garlic cloves and bring to a simmer.
Remove from the heat and whisk in the cream cheese, freshly grated Parmesan, finely chopped herbs, and some gratings of fresh nutmeg. Adjust the taste with salt and pepper. Stir well. If you find the sauce to be too thick, you could stir in a small amount of milk.
Drain the Brussels sprouts and place them into the baking dish. Pour the sauce over the sprouts and bake for about 15 minutes or until the cheese is golden and bubbling.
Serve hot with a green salad and boiled potatoes.