Preheat and prepare: Preheat your oven to 400°F (200°C). Line a large baking sheet with aluminum foil or parchment paper for easy cleanup, and place a wire rack on top if available. The rack helps the burgers cook evenly and prevents them from sitting in excess fat.
Cook the bacon: Arrange the bacon slices on the prepared baking sheet and bake for 10–12 minutes, or until crispy and golden brown. Remove the bacon and set it on a paper towel–lined plate to drain. Leave a bit of the rendered bacon fat on the foil or pan for added flavor when cooking the burgers.
Form the patties: While the bacon cooks, place the ground beef in a mixing bowl. Season with salt and pepper, then gently shape into four even patties, about 3/4 inch thick. Press a small indentation in the center of each patty with your thumb to help them cook evenly and prevent puffing during baking.
Bake the burgers: Place the patties on the prepared rack or pan. Brush the tops lightly with BBQ sauce for a flavorful glaze. Bake for 12–14 minutes, or until the internal temperature reaches 160°F (71°C) and the juices run clear. In the final 2 minutes of baking, top each patty with a slice of cheese and allow it to melt completely.