Preheat grill or grill pan to medium to medium-high heat (around 375-400 degrees Fahrenheit).
Rinse asparagus, pat dry with paper towels, then trim the ends. Gently bend an asparagus spear until it naturally breaks. Discard the end, then trim all of the asparagus to the same length.
Toss asparagus with olive oil, then season with salt, black pepper, lemon juice, and the zest from 1 lemon.
Place the asparagus on the grill, making sure to place the asparagus perpendicular to the grill grates so that they don't fall through.
Grill for 7-10 minutes, or until the asparagus is tender, making sure to rotate the asparagus as it cooks.
Check for tenderness by piercing an asparagus spear with a fork.
Remove asparagus from the grill and serve immediately.