Added fat is by no means required--I only use it for lean proteins like shrimp. The char produced by grilling heat is an alleged carcinogen so I wouldn't grill every day but otherwise it's fine.
Each cooking method has its advantages so a rotating variety is probably wise. Gentle heat like braises, stews, and slow roasts are very good too.
Lots of: urban hiking, cycling, sprinting
Lots of: fresh meat, seafood, eggs, organs, tubers, starch fruits, vegetables, meat fat, dairy fat, oil fruits
Some: cured meat, dairy protein, sweet fruits, rice, pulses, tree nuts, oil seeds
Minimal: soy, refined proteins, sugar, liquid carbohydrate, grains, refined oils, peanuts