Whisk ½ cup thick plain yogurt, ¼ cup tahini paste, 2 tablespoons extra virgin olive oil, 2 tablespoons fresh lemon juice, 2 tablespoons cold water, 2 teaspoons grated or finely chopped garlic, 1 teaspoon ground cumin, 1 teaspoon dried oregano, ¾ teaspoon kosher salt and ¼-½ teaspoon cayenne pepper and in a bowl until smooth. The sauce can be made up to 3-5 days ahead. Keep it refrigerated until ready to use. If it thickens as it sits, stir in cold water, a few teaspoons at a time, to reach a thick, spoonable consistency.
Assemble and cook chicken skewers
To ensure everything on the skewer cooks evenly, cut 1 ½ pounds boneless chicken thigh or breast, 1 medium zucchini (about 10 ounces), and 2 red, yellow or orange bell peppers into chunky 1-1/2-2-inch slices. Keep the tomatoes whole.
Put the chicken pieces in a large bowl and toss with ½ cup of the marinade, a good pinch of kosher salt, and black pepper to taste. Marinate the chicken about 15 minutes at room temperature, or refrigerate up to 6 hours ahead.
About 15 minutes before you're ready to cook, preheat a grill to medium-high heat (about 375F or 190C) for direct grilling. If you're cooking the skewers indoors, preheat the oven to 450 degrees and line a large rimmed baking sheet (or two medium ones) with aluminum foil.
Thread alternating pieces of chicken, zucchini, tomatoes and bell peppers on skewers. Aim for about 10 total pieces per 12-inch skewer. Drizzle about a teaspoon of olive oil over each skewer.
Grilling: To prevent sticking, get your grill nice and hot before putting the skewers on the rack. Put the skewers on the preheated grill and cook until the chicken is cooked through, 3-5 minutes per side. If they're browning too fast, move to the cooler part of the grill and cover to finish cooking. Baking: Arrange the skewers on the prepared baking sheets. Bake 20 minutes, turning once halfway through, until the chicken is no longer pink and the tomatoes are bursting.When the meat feels firm and has no trace of pink inside (internal temperature should be close to 165 degrees), they're done.
To serve
Spread about ¼ cup of the yogurt sauce on a large platter. Arrange the skewers on top and sprinkle with the feta cheese and cilantro. Squeeze the lemon wedges over and serve with additional sauce on the side.
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Notes
To enhance the char on oven-baked chicken kabobs, you can place them under the broiler for a minute or two.
Grated onion (about ¼ cup) and a teaspoon of smoked paprika are good additions to the marinade if you want more depth.
Halloumi is worth adding to the skewers if you can find it — the firm, salty cheese holds its shape on the grill without melting, and it picks up char beautifully.