This is our family favorite and the kids love it!
1. Marinate duck breasts over night in a red wine - I like the flavor a cheap Merlot gives.
2. Get your grill hot, around 350° - 400°.
3. While the grill's heating, lay some bacon slices on the top of the breasts and secure with tooth picks.
4. Place the duck breasts on the grill, breast side up.  I like to use the top shelf, away from the flame.  Don't turn them over.
5. Grill just until the bacon's done and the duck is still pink in the middle.  If you cook the breasts too long, they'll be dry and tough, cooked just until they're medium rare, and they're delicious!
For a little different twist, try marinating them in a caribbean sauce like a Jamaican jerk sauce.