Depending on brand and size, some figs may already have slits. Assemble these a few hours ahead, and broil them once guests arrive.
Place almonds in a shallow pan.
Bake at 350° for 10 minutes or until lightly toasted, stirring occasionally.
Cut each prosciutto slice lengthwise into 4 thin strips. If necessary, make a small slit in center of each fig. Stuff each fig with 1 piece of blue cheese and 1 almond. Wrap 1 prosciutto slice around each fig, pressing to seal. Toss wrapped figs with oil, pepper, and salt; arrange in a single layer on a baking sheet.
Broil figs 3 inches from heat 3 minutes or until prosciutto begins to crisp. Serve immediately.
*4 thin slices deli ham may be substituted.