Soak 8 (6-inch) bamboo skewers in water for 1 hour. Prepare a charcoal or gas grill.
Using a soaked skewer, thread the skewer through the onion horizontally to hold the onion rings in place. Repeat with remaining skewers.
Brush onions and fennel lightly on both sides with olive oil; season with salt and pepper. Grill over medium-high heat, turning occasionally, until tender and caramelized.
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