This is essentially a two-ingredient dish, and it is always a hit. If you do have any left over, serve it chilled in a salad.
Preheat oven to 400°. Blanch asparagus by plunging into a large pot of boiling water, about 4 minutes, until crisp-tender. (If you like, add a pinch of salt and baking soda to the water to help the asparagus keep its bright-green color.)
Transfer asparagus to a bowl of ice water to stop cooking. Drain and let dry.
Wrap each asparagus spear diagonally with a strip of prosciutto. Use the odd pieces and fat to wrap and secure (they’ll crisp and melt in the oven).
Place on a baking sheet drizzled with olive oil. Season with salt and pepper to taste and bake until golden and sizzling, about 15 minutes.
Garnish with lemon wedges or lemon zest and serve immediately.