I grill okra(am growing it this year). I have used this recipe and changed it up now and then. It is good with a dipping sauce of some kind. I have made it with yoghurt and fresh herbs.
http://www.foodnetwork.com/recipes/barbecued-okra-recipe.html
That looks like a great ‘starter recipe’ for those of us who haven’t worked with Okra - others have said that frying (perhaps grilling, too?) gets rid of the slime.
You’ve all convinced me to try some Okra.
-JT