This is also known as warm anchovy dip, but don't run away! A Mediterranean classic, Bagna Cauda is truly delicious, and makes munching on blanched Broccoli and Cauliflower florets, asparagus and green beens or raw celery and jicama sticks a memorable experience. Bagna Cauda should be eaten warm, so plan ahead. The name Bagna Cauda means, "warm bath" in Italian.