Preheat oven to 400°. Line a large, rimmed baking sheet with parchment paper and top with a cooling rack.
Prepare asparagus: Carefully wrap a piece of bacon around an asparagus spear in a spiral. Repeat until you have 16 bacon-wrapped asparagus spears. Season with pepper.
Place on top of the rack and bake until bacon is crispy, 28 to 30 minutes.
Serve with Caesar dressing for dipping.