Wash asparagus thoroughly and snap off bottoms of stalks. Wrap each stalk with a half strip of bacon. Brush the asparagus with the olive oil, skipping over the bacon.
Place in a single layer on a baking sheet. Roast in a 400°F oven for about 10 minutes, until bacon is done.
If your stalks are especially thin, you can wrap two or three at a time with one piece of bacon. No bacon? Slices of prosciutto work well, too.