Caught a few Cobia a couple weeks ago while staying in Avon. I've not had Cobia before but I've always heard it was excellent table fare. Normally I cook the fish in my house but my wife came up with a recipe she really wanted to try.
She cut up about half a dozen lemons and laid the slices directly on the grill grates.
She brushed the Cobia with olive oil. She combined fresh basil, marjoram, oregano, onion powder, garlic powder, and a little salt in a small dish. She sprinkled the spices on the oil coated fish and placed it directly on the bed of lemons on the grill. The grill was heated to 350 or so and she allowed the fish to cook undisturbed for around 20 minutes or so. She then flipped it once and let it cook another five minutes or so.
Absolutely amazing. Some of the best fish I've ever had. Much like swordfish.