How can I make grilled foods healthier?

Lean meats. Lean meats are healthier, so one should trim away excess fat before grilling. Also, steaks are safer than ground beef, because ground beef is more prone to bacterial contamination (unless the burgers are cooked well-done). Of course, be sure to have plenty of vegetables with each meal.
Think beyond meat. Healthy grilling just doesn't have to include meat. Try adding some color to your meal and grill up unexpected foods like watermelon, apples or peaches. Make sure to coat the fruit with a little bit of olive oil to add to the flavor, and watch the fruits closely because they don't take as long as meats to cook. Happy grilling!
Choose well. Grilled vegetables, lean meats, and smaller portions fit a "healthier" option. Maranades that minimize fats, as well as ensuring your meats are well "drained", are healthier fare.