In a resealable gallon bag, combine olive oil, garlic, coriander and fennel seed to create a marinade. With a sharp knife, cut a pocket into each chicken breast before placing it in the marinade. Refrigerate chicken for a minimum of 2 hours, or overnight. Combine the feta cheese, sun-dried tomatoes and olive oil to make the filling. Remove chicken from the marinade and fill the pocket with the feta cheese mixture. Use toothpicks to secure the edges of the filled pocket closed. Place chicken on grill and cook until internal temperature reaches 165 degrees and is no longer pink.