Special equipment: wooden skewers
Soak the skewers in water for 30 minutes. Heat a grill to medium-high heat.
Season the lamb with salt and pepper. Thread the lamb, sausage, pepper and zucchini on the skewers, leaving about a 1/2-inch space between each.
Grill the skewers, turning on all sides, until the sausage is completely cooked through and the lamb is medium-rare, about 10 minutes. Brush with oil during the last minute of grilling.
Serve over a bed of baby arugula.