There's no reason to shy away from cooking octopus at home. It is as easy as boiling chicken. Every waterfront restaurant in Greece prepares it in this simple manner, first simmering it until tender, then searing it on the grill.
If you buy fresh octopus, ask the fishmonger to clean it for you by removing all the viscera from the head. Frozen octopus is cleaned before freezing.
Put the vinegar, lemon zest, garlic, bay leaves, and thyme in a large nonreactive pot. Add the octopus, cover, and place over high heat with no additional liquid. The octopus will sizzle at first but quickly release a lot of water. Cook until the skin turns purple and the octopus shrinks by 1/3, about 10 minutes.
Add 4 cups of water. Bring to a boil, uncovered, then add 1 tablespoon salt. Place an inverted plate inside the pot to keep the octopus submerged; if necessary, weight the plate with a water-filled saucepan. Adjust the heat to maintain the merest simmer and cook until the tentacles are tender when piereced at the thickest part, about 2 hours. Taste the broth for salt. Let the octopus cool in the broth.
Remove the octopus from the cooking broth and cut off the heat (reserve for another use, such as marinated seafood salad). Cut the remainder into 8 whole tentacles. Rub off any loose skin, but try to leave most of the skin intact for flavor. Refrigerate the tentacles until cold, which will help keep the skin intact during grilling.
Prepare a hot charcoal fire or preheat a gas grill to high. Rub the tentacles all over with olive oil, then season with salt and pepper. Grill, turning once, until heated through and charred in spots, about 3 minutes. Cut the tentacles cross-wise into 1-inch chunks. Place them in a large bowl and add the dressing and lemon juice. Toss well and taste for seasoning. Transfer to a platter and serve hot.