Although I take to the flames all year round, I'm an admitted wuss to the cold, and once January rears its ugly head, I find myself opting for the warm comforts of the indoors rather then manning the grill in the arctic ice land that lays outside. Staying in is no excuse to stop grilling though, and I've found many grilling recipes can easily be adapted for indoor cooking, given the proper equipment.
While not quite as passionate of a debate as charcoal preferences, I've found people will defend their Foremans, panini presses, and electric grills to no end. Having tried all of the former options and beyond, I've concluded that a cast iron grill (I'm rather fond of this Lodge model) is the ultimate way to replicate real grilling without having to withstand the bitterness of winter.
Even though it's no substitute for cooking over a live fire, a cast iron grill does have many similar features that makes it attractive.
Heat. One of the keys to cooking with charcoal is the immense heat you can get when the coals are first ready for cooking. While my handy infrared thermometer can't register high enough to measure a charcoal fire (over 600 degrees), it does pick up that my cast iron grill can reach up to 550 degrees after being left to heat up for 5-10 minutes, not too shabby.
Smoke. A source of pride for myself, and frustration for the fiancee, the cast iron grill does produce a fair amount of smoke, which tends to linger around my house for a good 15 minutes post-grilling. A well ventilated kitchen is definitely recommended, but smoke is a good thing because it flavors food, and reproducing smoke to some extent indoors helps impart that classic grilled taste.
Surface area. Sometimes my 22" kettle isn't big enough, so going indoors to a smaller grill can prove challenging. The cast iron grill I use covers two burners on the stove, providing a decent surface area to work with. I actually have two indoor grills, and when used at the same time, side-by-side, I get a comparable cooking area, making it possible to still grill for a crowd.
Armed with my cast iron grills, I've successfully pulled off most direct grilling recipes I've come across. So if you're like me, and weeks of 20 degree days keeps you holed up indoors, remember that doesn't mean there needs to be any break grilling.