On the stove, with a pan lid as a press.
I used to have a little countertop grill, the jawed sort with removable plates (always thought of them as dentures) for waffles, sandwiches, and grilling. But it took up too much space, and I used it precisely never, finally purging it during a move. I still love hot sandwiches, though, and I've found that a panini press is fairly unnecessary. Here are 5 ways to get the sandwich without the gadget.
- Pan on the stove, with a lid for a press. - Heat a heavy skillet over medium-high heat, and cook your sandwich for a couple minutes on each side, pressing it down to make full contact with the hot pan using a big lid. (Pictured: South African Cheese, Grilled Onion & Tomato Panini (Braaibroodjie).
- Pan on the stove, with another pan for a press. - Similar to the method above, but using a heavy pan. This is good for sandwiches with a lot of cheese inside. You can even preheat the top pan on a burner or in the oven to help the top layer of the sandwich heat faster. (Just be careful and use a good oven mitt!) (Pictured: Tomato Mozzarella Sandwich.
- A wide-slot toaster. - Use a Toastabag or Jamie Oliver's clever hack to melt and toast a sandwich in the toaster.
- The oven broiler. - The broiler is a great way to make a toasty sandwich, especially when you are making sandwiches for a crowd. You can just flip the sandwiches to get them evenly toasted on both sides. Or, if they need weight on them to help melt and meld the cheese inside, (Pictured: Hot Baked Nutella & Cream Cheese Sandwich.)
- The grill itself. - And don't forget the grill itself! Fire up the gas grill for truly toasty, truly grilled cheese. (More here on grilling sandwiches.)
What's your favorite way to make a hot sandwich? Do you love your panini press? Or maybe you're devoted to the toaster oven?
Related: Quick Sandwich Tip: Make Hot Panini Sandwiches Without the Mess
(Images: Anjali Prasertong; Faith Durand; Emma Christensen)
What Drink Do You Order at a Bad Bar? 25 Food Writers Share Their Safety Drinks
How To Cook Tender, Chewy Wheat Berries on the Stovetop
Good Food to Share 
The Big Book of Small, Cool Spaces 
Apartment Therapy Presents 
The Eight-Step Home Cure 
Red-and-Pink-Stripe...
Must-See Small Cool Homes: Week Two
Beth's Romantic & Retro Residence
Waffle iron!
The way my mother always made it: cast iron skillet with a plate over the sandwich, weighted down by the kettle.
I use a cast-iron bacon press, which, conveniently, also can be used to keep bacon flat.
My failsafe is a kettle + foil - a variant on #1 and #2 - Pan on the Stove, Kettle for a Press.
Bring a full teakettle to a boil. Butter the side of the foil that will be touching the sandwich. Then place the foil over the sandwich, and top with the hot kettle, pressing down. The boiling water will "cook" the sandwich from the top and the butter will give it a nice crispness. Excellent for Cubanos.
@anninva, ingenius!!!!
Second the cast iron bacon press. Multi-taskers FTW.
Kudos to anniva whose method is the most advanced. I never thought of boiling the water to use the kettle as a top cooker. I've been doing half the method: I cover the sandwich with a little foil top and then fill the kettle with water and place on top. Pressing is optional.
I make all my grilled sandwiches in my George Foreman. It does a beautiful job pressing and my Ruebens are fantastic. Grill your salmon in your George F too! But keep a close watch--it only takes 2-3 minutes!