You can grill over charcoal or on a gas grill.
On gas grills, set the heat to medium. On charcoal grills, set the asparagus away from the center. You'll want to grill for about five minutes.
If you'd like to grill asparagus in your oven, toss it with olive oil, put it on a lightly sprayed cookie sheet, and set it under the broiler for three to five minutes.
Regardless of where you're grilling your asparagus, if it's not wrapped in foil (so you can't see) be sure to keep an eye on it. You want it to be brownish and a little crispy when you're done, but not charred.
Season with salt and pepper. Some people like to marinate in oil and vinegar before grilling, or to put a sprinkling of balsamic vinegar inside the foil packet. Grilling asparagus has such great results you probably won't even need a sauce.