It is said that the flavor in a steak is in the cooking. Different cooking techniques will certainly change the final outcome.

Gas grills, charcoal grills, stovetop / oven cooking, and smoking, just to name a few.

I personally think there is nothing better than the distinct smokey flavor you get from a charcoal grill. Brings back so many fond tailgating memories. Personally I use a gas grill. Unfortunately time usually becomes a factor with hungry people around. 

Smoking is a totally different ball game.  You have different types of woods to smoke with. There is cold smoking, and hot smoking, both take a lot more time then gas grilling. There is absolutely no substitute for smoked brisket or smoked ribs. That slow cooking process takes your meat to a whole new level, the smoke adds a distinct layer of flavor.

Plenty of people out there live where grilling is not an option, apartment or condo living for example. This does not mean you are completely out of luck. Your oven broiler works similar to an outdoor grill. The only difference is the flame is coming from the top instead of the bottom. If you sear your steak on the stove top in a piping hot pan you have the same ability to seal in those important juices. As long as you watch what your doing you can obtain a perfectly delicious steak right from your oven.  Just be mindful that you can cook your steak pretty quick under a broiler, so be certian not to end up with a burnt, dry piece of meat.

The choice between gas, smoking, charcoal grilling, and oven cooking is really a matter of taste VS. convenience. If you have the time and ability to do your own smoking, go for it. There are thousands of great recipes out there no matter how you plan on cooking.