Roasted Asparagus with Feta - First try 11/18/13 - Did this as a Thanksgiving side dish. Delicious, and liked by even our family's picky eaters. Super easy. I make roasted asparagus for an easy weeknight dinner side dish all the time, but I've never thrown feta on it before. If you're making a large meal, like Thanksgiving, do this last. If you roast asparagus and let it sit, it'll get soggy, and the feta works because the asparagus is hot and warms the cheese up.