I have a friend who wraps his in bacon, and does them on the bar-b-que pit while brushing them with "his special" marinade. I have tasted them, and they are exquisite.
oh that reminds me... my favorite restaurant in San Francisco serves them wrapped with pancetta (like Italian bacon) and then pan-seared until the pancetta is crisp... and over a bed of lentils. It's wonderful!
Wrapped in bacon is definitely a great idea. You definitely don't need a heavy, strong sauce, because, like you said... the meat is delcate and can be overwhelmed easily by strong flavors.
The French dredge them in flour and brown them in butter. Then you put the legs in a buttered casserole dish, dot them with minced garlic and bake until cooked through.