The ones you want are the fresh ones that are about 6-8 inches long. Scrape the scales with the edge of a knife. Then head and gut them. Wash thoroughly with fresh water and pat dry.
Start some chunk charcoal in a chimney starter. Do NOT use briquettes!!! You will need a heavy wire mesh to go over the top of the chimney starter.
The object here is to get a VERY hot fire going. Wipe the sardines with olive oil and cook on the wire mesh just until the skin starts to blacken. This will not take more than 90 seconds a side if you have the fire hot enough.
Plate and sprinkle with sea salt and freshly cracked black pepper. This will spoil you for canned sardines.
On a historical note. This is where the island of Sardinia got its name. Sardines were the main ingredient in the Roman staple, garum. Garum was a fermented fish sauce in different grades and was consumed by all classes of Roman society. It was the number three trade commodity, after olive oil & wine, in the western Roman empire.
WWG1WGA
Garde la Foi, mes amis! Nous nous sommes les sauveurs de la République! Maintenant et Toujours!
(Keep the Faith, my friends! We are the saviors of the Republic! Now and Forever!)
LonePalm, le Républicain du verre cassé (The Broken Glass Republican)