There are at least three ways to cook hot dogs because I've used all three. There's boiled in water of course - adequate and takes away a little fat but loses a bit of flavour in my opinion. Then there's grilling as you mention. Finally there's pan-frying which I really like but don't do much anymore. Fry them in a little butter (better than margarine from a health standpoint although with frying...) with some onion in the pan to add some flavour (you can either put the translucent onions on your hotdog or just toss them). You can probably do them in a steamer - like boiling but without the flavour being washed away - and there are those roller things they have in some places where they sell hotdogs - does that count as grilling. Finally I've heard of people (mostly in New Jersey) who deep fry hotdogs.

As to what you put on your hotdogs that varies according to taste an locale.