Preheat oven to 400°. Sprinkle chicken with salt and pepper. In a large cast-iron or other heavy skillet, heat oil over medium heat; brown chicken on both sides. Transfer to a 15x10x1-in. baking pan; reserve drippings. Bake chicken, uncovered, until a thermometer reads 165°, 8-10 minutes., Meanwhile, in same skillet, cook and stir shallot and rosemary in drippings until tender. Stir in broth. Bring to a boil; cook until liquid is reduced by half. Reduce heat to low; stir in lemon zest and juice. Whisk in butter, 1 tablespoon at a time, until creamy. Serve with chicken.