Prepare a stove-top griddle or outdoor grill. Rinse the arugula, shaking off any excess water. Arrange on a large platter and set aside.
Rinse the sardines in cold water, rubbing to remove the scales. Wipe dry. In a bowl, combine the sardines and olive oil and toss to coat. Grill over very hot coals or heat about 2 to 3 minutes per side, or until the sardines are crispy and golden. Season with salt and pepper. Transfer immediately to the arugula-lined platter and serve with lemon wedges.