Peel any leaves off the head of cauliflower. Turn the cauliflower over so the stem is facing up. Carefully “core” the cauliflower with a knife, slicing out the the thickest part of the stem and leaving all of the florets connected. (See photos above.)
Rinse the cauliflower under cool water and place it stem down in a colander to allow it to dry before roasting. If not roasting right away or for maximum drying (the more dry the cauliflower is, the better it will brown), transfer the colander to the refrigerator. Refrigerate for at least an hour and up to 2 days.
Roast: When you’re ready to roast the cauliflower, heat oven to 375 F.
Brush the bottom of a cast iron skillet or Dutch oven with some cooking oil (to prevent sticking). Place cauliflower in the pan. Drizzle the cauliflower with olive oil and use your hands to spread it over the surface of the cauliflower. Season with salt and pepper.
Cover the cauliflower with foil (if using a skillet) or with the lid (if using a Dutch oven).
Roast the cauliflower, covered, for 15 minutes. (This will help to steam the cauliflower to get it tender all the way through.)
Turn the oven up to 500 degrees F. (Yes - it's super hot! This high heat will give the cauliflower a golden brown crust in a short time.)
Remove the foil / lid from the top of the cauliflower (do this carefully - it's all hot). Continue roasting, uncovered until the cauliflower is golden brown and the cauliflower florets can easily be pierced with a fork, 25 to 40 minutes (this will vary depending on the thickness of the head of cauliflower, so start checking it at around the 25 minute mark).
Make sauce: When the cauliflower is nearly finished roasting, melt butter in a small saucepan or frying pan over medium heat. Add shallots and saute until shallots are tender, ~2 minutes.
Add flour and stir until no dry spots of flour remain and the mixture forms a thick paste. Slowly pour stock into the pan, while whisking. Bring sauce to a simmer and simmer until thick, ~5 minutes.
Remove sauce from heat and stir in capers, lemon juice, and parsley. Taste and season with some salt and pepper.
Pour sauce over cauliflower and serve! (The most fun and impressive way to serve the cauliflower is to keep it whole and serve it in the skillet. Slice it into quarters at the table.)