Saw a recipe the other day that looked good.
Slice aubergine into slices lengthwise. Oil them then cook them (oven, grill, frying pan, griddle, bbq if it's lit, however really) until they're soft-ish. Then place a slice of feta/mozzarella/whatever, some basil and some chopped sun-dried tomatoes (or whatever else takes your fancy really) on the slices, wrap them up, secure with a cocktail stick, them finish them off on the bbq until the cheese inside is soft and melty.
Gonna try these out on some veggie friends this weekend.
Can't remember where I saw the bleedin recipe though.
EDIT Found it!!!!!!!!!!!!!howexciting
http://www.bbc.co.uk/food/recipes/database/auberginefoldandfeta_5261.shtml