They are wonderful cooked, also.
Here's a simple recipe:
Take Belgian Endive, one per person, and cut them in halves, lengthwise. Preheat a saute pan to medium heat. Brush the endive with olive oil, and add salt, a little sugar, and pepper. Add olive oil to the pan. Add the endive. Cook over medium heat for about 5 minutes per side. If you think the pan is too hot, or the endive look like they are getting burned, turn the heat to low.
You can also do a braised version. After an intial sear on all sides, add some chicken stock (or wine, etc.) to the pan and simmer on low heat, covered, for about 20 minutes.