One of my favorites has already been mentioned. Just half or quarter them, depending on the size, toss in olive oil, add salt and a good bit of fresh ground bepper and gook on a hot grill or in a hot oven.
For thanksgiving we made them with Gorgonzola and bacon. Just steamed the sprouts for about 4 minutes, then tossed with butter, bacon bits and the crumbled cheese and baked in a 350˚ oven until the cheese started to melt and the sprouts were cooked through. It was mighty good.