One of the best things I ever did was buy a cast iron grill pan at a local thrift shop. It allows me to grill indoors, all year long. I love the way it adds grill marks and texture to vegetables, meats, and even firm fleshed fruits.
I let the pan heat up for a few minutes on the stove top while I slice my vegetables and give them a very light coating of olive or vegetable oil. then a sprinkle of kosher salt and fresh cracked pepper. Then it's off to the grill for a few minutes on each side.
The veggies are good by themselves hot off the grill, or they make good leftovers, cut up into a cold salad or reheated with pasta, in a soup.... you know the drill. Good stuff.