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1
Set a wide, heavy skillet over medium-high heat. Add the sausage links and brown them on all sides in their own rendering fat, turning as needed. The sausage is ready to move on when the exterior is deeply coloured and a substantial fond has formed on the floor of the pan.
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2
Remove the browned sausages and set aside. Add the sliced peppers and onion directly to the rendered sausage fat in the pan — no fresh oil. Cook over medium heat, stirring occasionally, until the onion begins to turn translucent and the peppers show the first signs of softening at their edges.
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3
Return the sausages to the pan. Add the water or wine, scraping up the fond. Reduce the heat, cover loosely, and simmer. This is where the dish lives or dies: the peppers must cook until they are completely soft and slightly caramelised, the onion sweet and melted into the mass, and the sausage cooked through and still juicy — crunchy peppers mean the dish is not finished.
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4
Taste the pan juices and adjust seasoning. The fennel seed carried inside the sausage should be detectable throughout. Serve in a split Italian roll with the peppers and onions piled over, over penne or rigatoni with the juices as sauce, or on a bed of soft polenta with the pan juices ladled over.