In my opinion, almost everything is better when cooked on a grill outdoors. I tend to prefer a charcoal or wood fire, although gas is good also, because it can be very convenient. When the fat drips down, it stokes the fire, which gives the food a nice flame broiled flavor.
I've never cooked much seafood on the grill, other than shrimp in kebabs, so I don't know whether I'd prefer it on the grill, but other than that, I do grill a lot of meat and vegetables, and they're fairly quick and easy to cook on the grill, as well as not heating up the house, which is nice in the warmer weather.