Season the rabbit with the rub. Heat the oil in a cast-iron pot over medium-high heat. When the oil is hot, brown the rabbit, cooking for 3 to 4 minutes on each side. Transfer to a platter and set aside.
Reduce the heat to medium and add the flour. Stirring constantly for about 10 minutes, make a dark brown roux, the color of chocolate.
Add the onions, celery, bell peppers, and garlic. Cook, stirring constantly, for about 5 minutes, or until the vegetables are wilted. Add the salt, cayenne, black pepper, and bay leaves. Add the rabbit and cook for 1 minute. Add the water, stirring to mix well. Bring to a gentle boil and simmer, uncovered, for 1 hour, or until rabbit is tender.
Remove the bay leaves and serve in soup bowls.
Yield: 4 servings