Ahhh, grilling is my favorite approach to fennel. It maintains its flavor but deepens and sweetens, much like onions do when grilled.
Often you need to core a fennel bulb (like you would for cabbage) then cut it into wedges for grilling. If the bilb is small you can skip coring, or wedge it first then see if it needs it.) A skewer or pick is helpful in holding each wedge together. Paint with evoo or clarified, salt lightly, and grill as you would for onions--till caramelized evenly or ln spots. Salt and white pepper to taste, wedges make a nice side or, separated and piled loosely, a nice bed for grilled or smoked fish.
Grilled fennel also combines well with griiled radicchio. Core and prep the radicchio the same way. Grill till browned in spots and wilted--it will lose its vibrant color, unfortunately, but taste great. It takes less time than fennel. Tossed together with a simple balsamic vinaigrette you have another nice side or, alternatively, toss a mesclun-romaine mix with the vinaigrette, top with the grilled fennel and radicchio, and drizzle on a little more dressing for a nice side or first-course salad.
One other idea sine I know you're a tuna fan: Saute some minced celery till soft and add some cooked white beans, a little salt, white pepper, and fresh thyme to taste. Remove from the heat, add a little minced roasted red pepper for color and flavor; reserve. Grill fennel, radicchio, and onion. coarsely chop alll three then fold into the bean mixture. Use this mix at room temp (or heated, if you prefer) as a bed for herb- and pepper-crusted grilled or seared tuna.