I discovered over the summer that, contrary to my upbringing of steamed asparagus, I prefer asparagus when it is roasted on a pizza stone. I think you could probably achieve a similar effect with a baking pan that you put in the oven and allow to heat up, but everyone should own a pizza stone, so you should really get one.
1 bunch asparagus, rinsed, ends trimmed
1. Preheat oven to 350 with the stone in the oven.
2. Toss asparagus with lemon, olive oil, and salt and pepper. (I actually do this on the pan, because I'm too lazy to wash another dish, and it works out all right.)
3. Bake for 10-15 minutes until desired level of done-ness.