I love marinated and then grilled baby octopus. I'm half Greek and this is how we always eat it. Huge piles of them. :-) First you blanch them for a minute. Then plunk them directly into a lemon, olive oil, garlic, salt and pepper marinade. You can add herbs or spices if you'd like. 30 minutes is long enough. Then grill very quickly over high heat. You want them a little charred on the edges. Charcoal grill is best, but gas is just fine. Serve with lemon wedges. A Greek or Caesar salad goes well.
It sounds like you ordered a big guy. You can use the same method, but blanch, marinate and grill longer.
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