Heat grill to medium.Place the asparagus on a platter or baking sheet. Drizzle with the oil, season with the salt and pepper, and toss. Transfer the asparagus to the grill and cook, turning occasionally, until tender, 4 to 10 minutes, depending on the thickness. Tip: Be sure to coat the entire asparagus spear, including the tip, with oil. This prevents it from burning or drying out.