In a small saucepan, melt butter; add the mustard, horseradish, Worcestershire sauce and lemon-pepper. Place each ear of corn on a 13-in. x 12-in. piece of heavy-duty foil. Drizzle with butter mixture. Fold in edges of foil and seal, leaving space for expansion of steam.
Grill, uncovered, over medium heat for 5-6 minutes on each side or until corn is tender. Carefully unwrap foil.