I like mine best deep fried in peanut oil.
If I am going to grill then I have done it way to many ways to mention. We tried it in Wisconsin on the smoker while at a cookoff. We were all to full to eat any by the time it was done. Took it home and finished it off that night.
One grilling method for me is to dehusk and wrap in foil with some butter and cheese powder. Comes out pretty decent.