we do them two ways around here: split and grilled, or baked/steamed out of the shell. I prefer the grilled ones. In fact, we had them on Thanksgiving (we had a crazy menu, surf and turf on the grill, and turkey in the oven!)
Here's what we do: make a marinade (we like shallots, lemon juice, garlic, butter or oil and a touch of oregano or other green herb) Split lobster tails lengthwise with a large knife, and brush flesh side of tail with marinade.
Place tails, flesh side down, on preheated grill. Cook for 10 to 12 minutes, (depending on heat level) turning once, and basting with marinade. Lobster is done when opaque and firm to the touch. This is so easy and never fails to impress.