Begin by preheating your oven to 400°F or 200°C.
Wash and dry the zucchini. Slice the zucchini in half lengthwise and then crosswise, if you want smaller pieces. Place in an oven proof baking dish, skin side down.
Drizzle the zucchini with olive oil (about 1 tablespoon per zucchini - less if you want to save a few calories). Use a pastry brush to evenly distribute the olive oil on the zucchini tops.
Sprinkle the zucchini with salt and pepper and finish with the Parmesan cheese.
Place the dish in the oven and bake for about thirty minutes. The zucchini are done when they are tender and the tops golden brown.
Remove from oven and serve hot.