Prepare an outdoor grill for medium indirect heat.
Slice into the dates lengthwise, just deep enough so that you can pull out the pits with your fingers. Discard the pits. Fill each date with a piece of cheese and an almond. Wrap a slice of bacon around each date, trim all but an inch of overlap and secure with a toothpick. Season with salt and black pepper.
Grill, on the indirect side, flipping occasionally, until the bacon is cooked through and crispy, about 10 minutes. Transfer to a platter. Serve warm or at room temperature.
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