Combine the arugula and shaved fennel in a serving bowl. Combine the olive oil, lemon zest, lemon juice, salt, and a few grinds of pepper in a jam jar or other small container with a lid. Shake the dressing until smooth and cream. Dip a leaf of arugula into the dressing and taste; adjust any of the dressing ingredients to taste. Pour half the dressing over the salad and toss gently to combine. Add more dressing a little bit at a time until you have dressed the salad sufficiently to your liking.
Use a vegetable peeler to shave a few slices of parmesan over the top of the salad. Serve immediately.