Line baking sheet with paper towels. Heat oil in large skillet over medium heat. Add peanuts; fry until golden brown, watching closely to avoid burning, about 3 minutes. Using slotted spoon, transfer peanuts to paper towels; drain. Cool. Finely grind peanuts in processor. Discard all but 1 tablespoon oil in skillet. Heat oil in skillet over medium heat. Add shallots, ginger and garlic; saute until shallots are almost tender, 3 minutes. Add anchovies and next 5 ingredients; stir 1 minute. Add 2 3/4 cups water; simmer until shallots are tender, 5 minutes. Add peanuts; simmer until mixture thickens slightly, 5 minutes longer. Season with salt. (Can be made 1 day ahead. Cover; chill. Before using, rewarm over low heat, stirring occasionally and adding more water to thin sauce.) Stir lemon juice into sauce. Serve warm.