My favorite technique is first to lightly sauté some garlic [and sometimes onion] in olive oil and add some fresh cracked pepper/salt. I then just add the asparagus and toss a few times in the pan, not really cooking it but more to get a little of the oil and garlic flavor on the asparagus. Then just grill it for a few minutes, usually on indirect heat unless you have some real big stalks.

I prefer the asparagus cooked, but still a bit crunchy, and not too oily. I feel people often overdo it with the oil and grilling of veggies. And I will partner this with my other favorite...grilled sweet potato.

I marinate the asparagus in a little EVOO, lemon juice, garlic and salt & pepper. To grill I line up the spears and put two wooden skewers through all of them, one on top and one on the bottom. Then I grill the whole thing and can turn it all at one time. Works like a charm.