There's no better place to start than with halloumi, the rightful king of grilling cheese. The salty, semi-hard goat's and sheep's milk cheese hails from Cyprus and has a high melting point that makes it suitable to grill. In my heavily Greek neighborhood, halloumi can be found in almost every supermarket at a reasonable price. But even if you can't find it, you can easily substitute it for Queso Fresco, Solid Feta, or young Cotija cheese