I like both the gas grill and the hot skillet, but I prefer to use the grill if the weather is nice and it's not too dark out. I find that the grill gives a better overall flavor, probably for the reason suggested by bowlingshirt. A wood-fired or charcoal grill does give a slightly better smoky flavor, but gas is much more convenient and worth the trade off, IMHO.
Also, pan broiling usually results in a lot of smoke and sometimes sets off my smoke alarm. I don't have an exhaust hood over the stove, and the down-draft thing I do have sucks, or rather doesn't suck enough.
I don't care for steaks cooked in the broiler. The lack of char gives them a rather bland flavor compared to the other two methods.