Preheat the broiler.  Trim the asparagus and toss with olive oil, salt, and pepper.  Spread the asparagus on a sheet pan and broil until tender and starting to brown.  As soon as the asparagus comes out of the oven, squeeze the juice of 1 small lemon over the top and sprinkle with feta.

Alternatively, the asparagus can be cooked on the grill.