Harvest small heads whole and carefully cut off the root end, taking care not to cut into the heart which will cause the leaves to separate (which is also okay because they can be used in a salad).
Sprinkle with a fruity olive oil and lay gently on a grill rack or in a grill basket. Turn with tongs after about five minutes, grill 5 minutes more and remove to a platter.
Splash with balsamic vinegar or lemon juice, salt and pepper to taste and serve as a delicious side to whatever you are having as a main course.
You can change up the flavor a bit by using sesame oil instead of olive oil, and splashing with soy or ponzu sauce after they come off the grill.