Cut the stalks off the fennel bulb. Finely chop the tender, feathery leaves and set aside. Discard the stalks. Cut away any bruised or blemished areas of the fennel bulb, then cut into medium dice.
Place the olive oil and onion into a soup pot. Sauté over medium heat for about 10 minutes. Add the diced fennel bulb, stir, and sauté for 5 minutes. Add the lentils, fennel seeds, water, and salt to taste. Bring to a boil, then adjust to a simmer, and cook, partly covered, for 30 minutes. Add the squash and cook for 20 minutes, or until squash and lentils are tender. During the last few minutes of cooking, stir in the reserved chopped fennel leaves. Before serving, grind a little black pepper over the soup and stir.