Cut cos and iceberg lettuce leaves into bite–sized pieces. Use a vegetable peeler or cheese grater to shave Parmesan into thin slivers.
To make anchovy dressing, place anchovy fillets and garlic in a bowl and mash to a paste. Whisk in olive oil, egg yolk, lemon juice, mustard, Worcestershire sauce and sugar. Add salt and freshly ground black pepper, to taste.
To make croutons, cut bread into small cubes. Heat olive oil in a large nonstick pan over medium heat. Add bread cubes; cook until golden brown on all sides, taking care they do not burn. Set aside; keep warm.
Arrange lettuce leaves and shaved Parmesan on individual serving plates. Drizzle dressing over salad and sprinkle on bread cubes.