Halve brussels sprouts and cut off any woody stems. Set aside. Scrub radishes, and trim root and stem ends. Halve radishes, as well.
Heat olive oil in a large skillet over medium high heat. Add brussels sprouts and radishes and cook, stirring occasionally for 3 minutes. Stir in shallots and cook for 2 minutes more, or until brussels sprouts begin to brown and the vegetables are tender. Season to taste with salt and pepper and place in a serving bowl. Top with the crumbled gorgonzola. Serve immediately.