I like a crispy skin on my poultry so I recommend grilling. You can add some wood chunks for a smoke flavor. Brining is good for all poultry (pork loin, shrimp...) but on wings I don't usually brine.
What I've been doing lately, just last week as a matter of fact, is using this rub recipe. Scroll down to Rita's 'Metamorphosis Rub Chicken Variation'. Snip the tips off, sprinkle the wings with salt then rub generously with the rub. You'll notice there's no salt in the rub. This way you can add more or less rub and not affect the salt level on your meat. Grill over med/med-high heat indirectly. Finish directly over coals if they need crisping up. If you want more heat you can add a ground chile such as chipotle or cayenne to the rub. The chipotle will also add more smoke flavor.
I've been doing 6-8 at a time, brining overnight and smoking @ 225-250 degrees. Then use them like a healthier version of a pork hock in soups and stews.
