Wash potato and rub skin with vegetable oil. Place potato on piece of aluminum foil. Sprinkle with coarse pepper and salt. Seal the foil around the potato.
Heat grill to medium high. Place potatoes on warming rack, or on cooking grid set at the highest level. Bake for about an hour or until potato is squeezable. Remove from foil. Cut a slit in the top of the potato. Serve with butter, salt, pepper, grated cheese, sour cream, bacon bits, or sliced green onion tops.
