roast some shallots like this: http://n1kitchen.blogspot.com/2009/04/roast-shallots.html
roast some baby beetroots at the same time. scrub them well, then place them whole in a roasting dish. if they're big, cut them in half. cover with some balsamic vinegar and olive oil, put in a few sprigs of thyme and some whole garlic cloves (i'd say about 5 cloves per 500g of beetroot, with 2tbs each of vinegar and oil), cover the pan tightly with foil (or make a foil packet so you don't need to use a roasting tin at all), and bake in a hot oven at 200C for around 1 hour. after that time, if the beetroot is soft when pierced, it's cooked. leave it to cool, then see if it needs peeling - i often don't bother if it's young. cut into quarters, or whatever a bite-size piece turns out to be.
dry-roast some crushed hazelnuts - put them in a plastic bag and bash with a rolling pin to crush but don't overdo it, you don't want breadcrumbs or rubble. watch carefully as they burn really quickly. you're aiming for golden brown.
crumble some feta cheese in a bowl. about 200g or a packet per half a kilo of beetroot. it would work with goat's cheese too, and even blue cheese like stilton but i would use less of the latter as it's more powerful.
add the shallots, the beetroot and the hazelnuts and mix it all together with your hands. dress with 3 parts olive oil, 1 part sherry or balsamic vinegar. season - but you don't need salt as the cheese is salty enough. add salad leaves if you wish.
the beauty of this is that you can 1. roast the beetroot and the shallots at the same time and 2. do all the prep in advance and 3. leave it in your fridge for a few days. make a large quantity and improvise with different salads during the week. it's perfect for parties or as a dinner party first course (i would add some leaves for the latter, and maybe something meaty on the side like thin slices of bresaola).
by the way, if you're lucky enough to get beetroot with its leaves still attached, add them to the salad. they can also be wilted like spinach.