Rinse and check all the mussels. If they are cracked, throw them out! If they are slightly opened, squeeze them. If they don't close back up within a few seconds, throw them out! One bad mussel can spoil the whole pot.
Heat the oil in a saute pan over medium-high heat. Cook the bacon until the fat is rendered and it is slightly browned. Remove the bacon and set aside.
Add the shallots and saute 1-2 minutes. Then add the mussels and toss together. Add the white wine and lemon juice and toss together.
When the mussels start to open, add half of blue cheese, melting it into the broth. As soon as all mussels are open, toss in the spinach.
Season to taste with salt and black pepper. Top with the rest of the blue cheese and the bacon. Serve with crusty bread to sop up the blue cheese broth!