Remove stems from mushrooms; place caps, hollow side down, on foil-lined rimmed baking sheet. Brush with oil. Bake in 400°F oven for about 8 minutes. Let cool; drain off liquid. Place, hollow side up on clean foil-lined rimmed baking sheet.
In a bowl, mash together goat cheese, cream cheese, sun-dried tomatoes, parsley, lemon juice and pepper. Spoon into mushroom caps.