I make an awesome grilled veggie salad. Use a couple parsnips, zucchini, a red onion, green or red pepper, all cut kinda chunky. Marinate in some salad dressing or olive oil, grill until tender, then toss with some baby spinach leaves. Throw on some toasted pine nuts and you will think you're in heaven!
I also make a lot of foil-wrapped veggies. Cube baby potatoes (skin on is yummy), wedge an onion, and throw it on some foil with garlic and a couple good lashings of olive oil. Season with salt and pepper, maybe some cayenne. Fold over the foil and seal well on the remaining three sides. Shake well to get everything coated. You can put in an ice cube or two if you want more of a steamed effect. Grill for about fifteen minutes (check the potatoes before you pull it off the grill).