Fill your kettle and boil it. Trim the stalk off the broccoli (you can keep this to use in stir-fries and vegetable soups) and break the broccoli into small florets. Fill a medium-sized pan with hot water from the kettle, bring back up to the boil then add the broccoli. Simmer for 3-4 mins till just tender, then drain and set aside in the colander.
While the broccoli simmers, peel and finely chop the onion. Melt the butter in a medium-sized pan and add the onion. Season with a pinch of salt and pepper and fry, stirring often, over a medium heat for 8 mins till the onion is soft and glossy.
Stir 2 tbsp flour into the onion. Cook, stirring constantly, for 2 mins. Add a pinch of cayenne pepper (it's hot so use as much or as little as you prefer). Add a splash of milk to the pan – around 100ml – and gently cook, stirring constantly till the milk is smoothly combined with the flour and onion. Repeat till you've use up all the milk and made a smooth sauce. Simmer for 5 mins, stirring often, till the sauce has thickened up a little.
While the sauce simmers, coarsely grate the cheddar. Heat your grill to high.
When the sauce has thickened a little, take it off the heat and stir in the cheddar and 1 tbsp Worcester sauce. Grate in around a quarter of the nutmeg. Stir to combine, then taste and add a pinch more salt if you think it needs it.
Drain the lentils and tip them into an ovenproof dish. Stir in the broccoli. Pour over the cheddar sauce and sprinkle over the breadcrumbs. Grate over another quarter of the nutmeg. Slide the gratin under the grill and cook for 5-8 mins till golden and bubbling.
Let the gratin cool for 5-10 mins then divide it between a couple of warm bowls and serve.