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Like broccoli, their closely related cousins, Brussels sprouts benefit from extremely high heat and browning, to the point of a near-char, in order to intensify their sweetness and bring out their unique nutty flavor without turning them overwhelmingly sulfurous.
Split your Brussels sprouts in half, toss with olive oil, season, and roast in a 500°F (260°C) oven until tender and charred.
The Full Story
Brussels sprouts are unique creatures. When cooked poorly, they can give off a strongly sulfurous aroma that many find unpleasant. But if you can crack through that aroma and release the natural sweetness hiding underneath, then you're rewarded with one of the most delicious vegetables around.
The key is to use the full-on, frontal-assault, no-prisoners-taken, blast-the-sh*t-out-of-'em approach, a.k.a. very high heat. This allows the exteriors of the vegetables to caramelize and brown, producing sweet by-products, while at the same time making sure that they don't have enough time to develop the really sulfurous aromas that slower cooking can yield.
While the oven preheats to 500°F, I split my Brussels sprouts, then toss them with olive oil. In order to get them as hot as possible as fast as possible, I preheat their roasting pan, too.
Tossing the vegetables as they cook can lead to more even browning, but letting them rest on one side will produce more interesting textural contrasts. I like to switch it up depending on the mood I'm in.
If you want to get really crazy, Brussels sprouts love cured pork. Crisp up some bacon, pancetta, or chorizo in a skillet; save the crisp bits; use the fat to roast the sprouts; then toss them together with the meat when they come out of the oven.