If possible, buy them on the stalk - and the tinier the better.
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In the NYTimes recently
Adapted from "The Union Square Cafe Cookbook," by Michael Romano and Danny Meyer
Time: 25 minutes
2 tablespoons freshly squeezed lemon juice, plus grated zest of 1 lemon
2 pounds brussels sprouts
2 tablespoons olive oil
2 tablespoons butter
3 garlic cloves, minced
2 tablespoons black mustard seeds or poppy seeds
ΒΌ cup dry white wine or vermouth
Salt and pepper to taste.
1. Place lemon juice in a large bowl. Cut bottoms off sprouts, and discard. Halve sprouts lengthwise, and thinly slice them crosswise. The slices toward the stem end should be thinner, to help pieces cook evenly. As you work, transfer slices into bowl with lemon juice. When all sprouts are sliced toss them in juice and separate leaves. (Recipe can be prepared to this point and refrigerated, covered, for up to 3 hours.)
2. When ready to serve, heat oil and butter over high heat in a skillet large enough to hold all sprouts. When very hot add sprouts, garlic and seeds, and cook, stirring often, until sprouts are wilted and lightly cooked, but still bright green and crisp, about 4 minutes. Some leaves might brown slightly.
3. Add wine, and sprinkle with salt and pepper. Cook, stirring, 1 minute more. Turn off heat, add salt and pepper to taste and stir in the lemon zest, reserving a little for top of dish. Transfer to a serving bowl, sprinkle with remaining zest and serve.
Yield: 10 servings.
http://www.nytimes.com/2006/11/15/dining/151grex.html