A relative of lettuce, radicchio is shaped like a small cabbage and has a similar crunchy texture and reddish-purple color. Its slightly bitter flavor isn’t very interesting raw, but when grilled or roasted, it makes a strong statement. Grill the radicchio for this sandwich when you are using your grill to cook something else; then refrigerate it until ready to use. Covered, it will keep 1 day. You can also roast radicchio in the oven, with similar results. You can roast the peppers and the radicchio together in advance on the same baking sheet. Just be sure to keep an eye on the radicchio to prevent it from overcooking. Done that way, this sandwich is an absolute breeze to put together, and the combination of ingredients tastes a lot more complex than it really is. When you come right down to it, there are just four main ingredients here. The key is that they are good ingredients.