I know many people are scarred by cans of three-bean salad. Personally I always liked it, but I like most pickled things. I will admit, however, that I've never been inclined to buy fresh wax beans, in part because I didn't know what to do with them beside three-bean salad.
The answer is one of my favorites*: Roast them! A woman I know was waxing poetic about them at the market, about how much more meaty and flavorful they were than supermarket green beans, so I figured I may as well try them... and once they were home I figured I may as well cook them like I usually cook green beans.**
If you see some, snatch them up. I've already gone back to the market for another bag.
*right up there with "Add alcohol!"
** The other green bean preparation in regular rotation is to blanch them, douse them liberally with green salsa, stir in some olive oil and chopped raw shallot, sprinkle with sea salt, and chill. This was faster.