My wife and I realized this a few years ago....been doing it a lot. It is messy though, so grilling at least takes the mess and the smell out of the house, but I agree -- that is how the steakhouses do it.
Either way the key to a good steak is get the stove/oven/grill really hot and cook it fast. So you can still do that and get a great steak on a grill.
Agreed, cast iron in butter is the best for really good steaks.
I've been doing the reverse sear method for my nicer steaks recently. Instead of searing on the cast iron or grill and then finishing at a lower temp, do it in reverse. Cook them in the oven at real low heat until they are about 15 degrees under your desired temp. Then hit them on a smoking hot cast iron or over blazing hot coals for like a minute a side. Let rest for a few minutes then indulge. You'll get a real hard sear that doesn't soften up in the oven while the middle comes up to your desired doneness (which is med rare at most, if you're eating your steaks past that, just stick to burgers).