Natural gas grills aren't common, but some grills are designed to convert to natural gas if the fuel is available. This means you need a natural gas connection made specifically for your grill, typically built when your house or deck is constructed. Hook up your grill to this gas line, and then it acts just like propane.
It's easy to see how this limits your grilling experience: You can only grill where you have a safe gas line connection, which means never taking your grill on road trips or camping excursions. You also can't move your grill around your patio or deck to different locations. A natural gas setup is best suited to an outdoor kitchen, luxurious grilling space or other situations where a larger, permanent grill is called for.
On the plus side, natural gas is an extremely easy fuel to use. You never need to refill or replace anything, and it's typically the cheapest fuel around.
Want to convert a propane grill to natural gas? Here's how!
Made popular by the Traeger brand, these grills use wood pellets for fuel and an electric ignition system to start them. Pellets burn slow and hot, with an even flame that provides excellent flavor without the uncertainty of charcoal—it's no surprise that this has become an increasingly common fuel source. Like charcoal, wood pellets also have a lot of flexibility—most notably, they can be used to smoke meats thoroughly if you have enough time.
Pellets are more expensive than charcoal when buying per bag, but they do have their own advantages: They tend to last longer, and you can choose a variety of wood blends to impart the exact flavor that you want to your meats instead of trying to work in wood chips. If charcoal takes too much time and you prefer a simpler fuel, look into a pellet upgrade.
You don't see many electrical grills outdoors these days. Most are small versions that don't take up much space, ideal for a kitchen counter. Some are hybrids that can convert to electricity for indoor use. These grills are typically used in small spaces like apartments, where there just isn't room for anything else (always check apartment rules for grilling, as many locations are very strict about this).
These grills use a heating element that turns electricity into heat through current resistance. It's a fast way to heat up a grill, but not a great fuel choice. Electricity tends to be inefficient, and you typically spend more money (via your energy bill) for it than for fuels like gas. It doesn't impart any additional flavor and struggles to bring out flavors in many foods. However, technology is improving this type of fuel, and there are some options, like electric yakitori grills, which show promise.
Want to bring electricity to an outdoor kitchen? Check out this guide to burying underground cable.