By reading many blogs and opinions it seems grilling a steak is what the majority of people enjoy most. However, it is not always the easiest to perform; rain, lack of charcoal, lack of propane, etc can prevent us from our quest of the perfect steak.
What are your next best options?
Broiling - typically means using a high level of heat applied from above. For example, an oven's "Broil" setting will use only the top heating element at a high temperature. Typically, one would set meat(in this example) on a tray in relative close proximity to the broiling element.
Stove - Grill pans - Typically cast iron pans with ridges at the bottom to emulate the effect of cooking on a grill. There is also non-stick types of this pan. The heat comes off the stove into the meat. It also leaves room for fat to drip off, a lot like a grill.
Pan-frying - The key to pan-frying a steak is not to sear the steak at very high temperatures; it's better to cook at a more medium heat to get the flat sides nice and caramelized (rather than carbonized). Also, basting with butter is critical to this method. (Best w/ Fillet Mignon)
Conclusion: We will let you decide your cooking method - like most things food, it is like art, everyone has their own taste.
TIP: Some of the problem people have with cooking a steak is that they don't let it rest long enough before serving. Resting a piece of meat, regardless if it's chicken, beef or pork is key to having a juicy, flavorful piece of meat, as opposed to a dried out hunk of shoe leather.
Here is a little recipe to try on your next quest: