Select very fresh and firm vegetables for grilling; don't salt while cooking or they will lose their moisture.
Remove stems from mushrooms and use for stock or salad. Cut baby fennel bulbs in half; if using large bulbs, cut into 1/2-inch-thick lengthwise slices. Quarter each pepper lengthwise, and seed.
Toss vegetables with olive oil, garlic, and pepper, using just enough oil to coat them lightly.
Start a medium-size charcoal fire; when coals are medium hot, place grid as close to them as possible. Place mushrooms on hottest part of grill, gill side down. Turn after 3 to 5 minutes. Cook until caps fill with juice, then remove from grill and season with salt and herbs, if desired.
Repeat with fennel and peppers, but cook on a cooler part of grill. Avoid charring fennel before inside has softened; it should take 10 to 15 minutes to cook. Serve hot or at room temperature.