I've always used Pam (or the generic) on our grill but like Bucky mentioned, I do spray it on the grate before I fire up the grill. I believe that's how the instructions on the can say to use it when you're using it in a skillet, too (spray skillet and then preheat). I'd be curious to know if the "for the grill" stuff develops the sticky residue on the grate that regular Pam tends to. If not, it'll be worth the price!
-A balanced diet is a cookie in each hand