Preheat your oven to 350°F. Bring a large pot of water to a rolling boil, then add the frozen spinach. Cook for 4 to 5 minutes until thawed and tender. Drain in a colander, let cool slightly, then wrap the spinach in a clean kitchen towel and squeeze firmly to remove as much moisture as possible. Set aside.

In a very large skillet, melt the butter over medium heat. Add the chopped shallots and minced garlic, stirring often for 2 to 3 minutes until softened and fragrant but not browned. Sprinkle in the flour and whisk continuously until smooth and lightly golden, about 1 minute. Gradually pour in the half-and-half and vegetable broth, whisking constantly. Bring the mixture to a gentle simmer over high heat, then reduce heat to medium and cook, stirring frequently, until the sauce thickens. Add the nutmeg, cayenne, and cream cheese, stirring with a wooden spoon until the cheese is melted and the sauce is silky. Fold in the drained spinach until evenly coated. Taste and adjust seasoning with salt and pepper.

Transfer the spinach mixture to a baking dish (an 11-inch gratin dish works well). Bake at 350°F for 15 minutes, or until the top is golden brown and the edges are bubbly. Serve hot.