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.