I agree: grill it! A 'mixed grill' of things like onions, eggplant, zucchini, peppers, is delicious.
after grilling, dress everything with balsamic vinegar, olive oil and plenty of salt/pepper.
I love fennel in salads. Say:
apple, walnut, finely cut fennel, crunchy lettuce, goat's cheese with lemon juice and olive oil.
It goes especially well with cheese-any cheese
If you eat seafood or pork, fennel's a great accompaniment.
The Italians are really into fennel, and you're pretty safe adding it to anything even
vaguely Italian.
It's awesome added to a coleslaw, especially if there's pork to go with it!