Place mushroom caps in a large food storage bag. Add balsamic vinegar, olive oil, lemon juice, and Worcestershire sauce. Seal and shake bag to evenly coat mushrooms with marinade. Allow to marinate for 15 minutes.
Grill 6 inches from hot coals or over medium-high gas grill 4 to 6 minutes on each side, starting with the cap down. Season to taste and top with your favorite toppings.