Preheat oven to 375 degrees. Drizzle a little olive oil in a roasting pan.
With a sharp knife, cut a 'pocket' in the side of each chicken piece. Stuff with a rectangular chunk of blue cheese. Roll chicken pieces in olive oil in pan and roast 35 - 40 minutes, or until chicken is done.
Meanwhile, in a small bowl, mix together ground almonds, breadcrumbs and Parmesan cheese. Season with a little salt and pepper.
Remove chicken from oven and generously spoon breading mixture on top of each piece of chicken. Carefully spoon pan juices on top to moisten. Return to oven and broil until golden brown. Serves 6.