Prepare the wings: Preheat the oven to 350 degrees F. Season the wings with salt and pepper and arrange on a baking sheet in a single layer. Cook until just brown and crisp, about 45 minutes.
Make the sauce: Combine the lime zest and juice, tequila, agave syrup, cumin, adobo sauce, 1/2 teaspoon salt and 1/2 tablespoon pepper in a bowl. Pour over the warm wings and let marinate at least 30 minutes.
Preheat a grill to high. Grill the wings until marked, 10 to 15 minutes, turning as needed. Transfer the marinade to a saucepan and cook until slightly thick, about 8 minutes (you can do this on the grill as well). Drizzle the wings with the sauce and top with cilantro, if desired.