It's worth scouring garage sales and thrift stores for clay baking vessels. For some reason, people dispose of them after a few years of use. Trust me, when you find one, hold onto it. You may not bake in it every week, but when you use it you'll be in awe of the results.
Forget the grill, invest in a few clay pots and build a tandoor in your backyard this summer! For about $100 you can build a natural convection oven that will make you the envy of neighborhood bbq's.