Preheat oven to 400F. Debone the chicken thighs (reserving the bones), and season on both sides with salt and pepper to taste. Place them on a cooling rack that is placed over a baking sheet lined with foil.
Bake the thighs for 50–55 minutes.
Meanwhile, heat the olive oil in a pot over medium-high heat. Once hot, add the reserved chicken bones to the pot and fry for 5–10 minutes.
Add the diced jalapeño peppers and garlic to the mixture. Let cook for 3–4 minutes or until soft.
Add the broth and spices to the mixture and stir to deglaze the pan. Once boiling, reduce heat to simmer until the chicken thighs are ready to remove from the oven.
Once the thighs are cooked, remove the crispy chicken skins and set them aside for later. Discard the bones from the broth.
Add any excess chicken fat to the pot. Using an immersion blender, puree the jalapeños and garlic into the broth. Shred the chicken meat and add it to the pot. Let this simmer for 10–15 minutes.
Add the cream cheese and cheddar cheese to the soup and stir while simmering for 5 minutes, or until all the cheese has melted and is well incorporated.
Slice up the bacon and cook over medium-high heat until crisp. Let rest on paper towels for a few minutes to crisp up.
Garnish the soup with pieces of bacon. Serve with the crispy chicken skins on the side.