Many veggies work well on the grill. Simply use olive oil, salt, and pepper (and any other seasonings like garlic) and grill away. Some ideas below:
Asparagus. These work great as long as you don’t put them on the grill in the wrong direction. Use tongs and keep turning them to evenly cook. I like them almost slightly burned.
Romaine Lettuce. Slice a full head in half lengthwise, drizzle with olive oil and seasonings. Place cut side down.