Heat a gas grill to 400°F. Prepare the asparagus by trimming fibrous ends. Either cut or snap off the bottoms at the natural bend or breaking point of the stalk (where the color changes from white to green), 1-2 inches from the base.
Arrange asparagus on a rimmed baking sheet side by side in an even layer. Drizzle with olive oil and roll asparagus to coat well. Season with salt and pepper.
Place asparagus on the grill over direct heat and cook for 6-8 minutes, checking and turning (rolling 1/4 turn) asparagus every few minutes until browned in spots and crisp-tender. Cook slightly longer if a softer texture is preferred.
Remove from the grill and arrange on a platter. Top with crumbled Cotija cheese and serve right away.
The ideal way to keep asparagus spears from drying out and as fresh as possible is to trim the fibrous ends to create a fresh cut about 1/2-inch or so from the bottom (like you do for a Christmas tree). Stand the spears up in an inch of water and store them in the refrigerator for up to 1 week.
Recipe Variation & Serving Suggestions:
Substitute feta, goat cheese, grated Parmesan, or blue cheese for the cotija cheese.
Substitute avocado oil for the olive oil.
As a simple starter, wrap fresh asparagus with a slice of prosciutto and grill as indicated, but extend the cooking time by 2-3 minutes until prosciutto is crisp.
Dip the grilled spears in Ranch or blue cheese dressing to serve as an appetizer.
Serve with a side of hollandaise sauce.
Top with a lightly poached or soft boiled egg and allow the soft yolk to dress the asparagus.
Dress with aged balsamic vinegar and a fine grating of Parmesan cheese.