Preheat oven or grill to 425°F
Divide the asparagus into bundles of 3 to 4 spears. Wrap one slice of bacon around the bottom of each bundle, one around the middle, and one around the top, leaving space in between the bacon slices. Secure each bacon slice with a toothpick.
Brush the bundles with extra virgin olive oil on all sides.
Roast on a broiling pan in the oven or grill for 10 to 12 minutes until the asparagus is tender and the bacon is crispy.
Using a vegetable knife, slice each bundle of asparagus between the bacon slices, creating three bundles out of each. Place the bundles on a platter, and either drizzle with roquefort almond sauce or serve with a bowl of the sauce for dipping.