Most city folk I know either take to a grill-friendly park or, if possible, their rooftops. I've even participated in a grilling party that took place in an alley. The problem with this is that it in the case of the park, you pretty much have to host a picnic. Not that a picnic is bad, but it's a specific kind of dining experience. Climbing up to your rooftop or setting up shop in the alley basically exiles whomever is tending the grill, unless you move the entire party to that location. Either way, depending on how tall your building and what floor you live on, this can create all sorts of logistical difficulties.
What are your grilling challenges and how have you overcome them? I have a fair number of friends who have much more space to grill in than I do, so I never pass on an opportunity to show up with a sack of brats in one hand and a bag of charcoal in the other. Luckily, this usually helps to take care of my summer grilled food cravings and will tide me over until I can one day possess a back yard or balcony of my own.