In a medium pot, cook bacon over medium heat until crispy. Remove bacon and set aside. Add mushrooms, shallot, thyme, salt, and pepper to pot. Cook, stirring occasionally, until softened, about 5 minutes. Remove ¼ cup mushrooms; set aside. Add Madeira to pot; cook until almost absorbed. Add cream. Bring to a boil, and cook until slightly thickened, about 2 minutes.

To the pitcher of a blender, add mushroom mixture. Puree until smooth. Add ½ cup chicken broth for a thinner consistency, if desired.

Place pureed mushrooms back in pot, and add 2 cups chicken broth. Over medium heat, bring mixture just to a boil.

Top servings with reserved bacon and reserved mushrooms. Garnish with thyme and ground black pepper, if desired. Serve immediately.