Rinse octopuses under cold water, then cover with water by 2 inches in a 5- to 6-quart heavy pot. Bring to a boil with bay leaf, then reduce heat and simmer, covered, until octopuses are tender (tentacles can easily be pierced with a fork), about 45 minutes.
Transfer octopuses to a colander with tongs, then discard cooking liquid and bay leaf. When cool enough to handle, cut off and discard heads and halve octopuses lengthwise. Cool to room temperature.
Whisk together oil, lemon juice, sea salt, pepper, and oregano. Toss octopuses with dressing and marinate, stirring occasionally, 20 minutes at room temperature.
Cooks' notes: If you can't find baby octopuses, you can substitute a 2 1/2-lb regular octopus, though the texture will not be as delicate. Discard head of regular octopus, then cut body and tentacles into 2-inch pieces; follow baby- octopus cooking procedure (above), but simmer about 1 1/2 hours rather than 45 minutes. If your sea salt is very granular and pebblelike, crush it using the flat side of a large heavy knife or the bottom of a heavy skillet. Octopuses can be cooked and cut (but not tossed with dressing) 1 day ahead and chilled, covered. Bring to room temperature before proceeding.