Preheat oven to 350ºF. Melt butter in a large, lidded, deep sauté pan over medium heat. Sauté the apple slices until slightly browned, turning occasionally, for 5 minutes or so. Transfer to a bowl.
While apples are cooking, season chicken thighs with salt and pepper on both sides. Using the same pan, add a little olive oil if needed, then cook chicken skin side down until well browned, 5 to 7 minutes. Turn and cook on the other side for about 5 minutes, then transfer to a plate. Work in 2 batches, if needed, to avoid crowding in the pan.
Add bacon to the pan and cook, stirring occasionally, about 3 minutes. Add shallots and celery to the pan and cook, stirring occasionally, until they start to soften, 3 to 5 minutes. Add garlic to the pan and cook for about 30 seconds, stirring constantly. Add flour and cook for about 1 minute, stirring constantly. This will help thicken the sauce later.
REMOVE PAN FROM HEAT and add the brandy (especially if cooking with gas—the brandy could ignite into an impressively frightening blaze otherwise). Add cider and return the pan to medium heat. Season lightly with salt and pepper and bring to lightly bubbling, scraping up any browned bits. Return the chicken to the pan skin side up, along with any accumulated juices. Tuck the thyme sprigs (or sprinkle in the dried thyme) and bay leaf around the chicken. Cover the pan and place in the oven.
Bake the chicken for 30 minutes. Remove pan from the oven, being careful of the hot handle (speaking from experience). Transfer chicken to a plate and stir sour cream into the sauce until thoroughly combined, warming over medium heat. Taste and adjust seasoning with salt, if needed. Add the apples to the pan and return chicken pieces. Cook until warmed through.
Serve chicken thighs with some apple slices and sauce over white rice, if using. Sprinkle with chopped parsley, if using. You can also serve with some crusty bread.