Dice the halloumi into ~1-inch cubes, large enough to slide onto skewers without falling apart. Keep the tomatoes intact, cut the red onion and pepper into squares, and slice the zucchini into circles or ribbons. In a large bowl, whisk together the olive oil, lemon juice, garlic, oregano, and parsley. Add some salt and pepper to taste (keep in mind that halloumi is already very salty). Place the veggies into the bowl with the marinade and toss until coated. Cover with plastic wrap, and refrigerate for at least 30 minutes and up to 12 hours in advance.
When you are ready to prepare the skewers, preheat the grill to medium. Thread 12 skewers with the marinated veggies and halloumi. Cook under the grill for 10 to 12 minutes, rotating as needed, until the veggies are tender and the cheese is browned to your liking. Remove from the grill and enjoy!
If you use wooden skewers, soak them for at least 30 minutes in water to prevent burning (this doesn't always work for me but it's worth a shot).
You can find halloumi at Trader Joe's and some other grocery stores.
Leftovers can last in the fridge in an airtight container for up to 5 days.