My in-laws make fabulous grilled zucchini - slice it lengthwise into spears, rub with olive oil, and grill. It is soooooo good. I wish i had some to eat right now!
I slice my zuchinni lengthwise into quarters much like pickles spears in the jar and then place them in a ziploc bag, and pour any Italian dressing over top. Refrigerate for at least a half an hour, and then grill for no more than 5 - 7 minutes. Grill away from the coals if you used Italian dressing with oil in it so it doesn't flame up. Fat free Italian dressing works fine too.