Grill pans are marketed as a way to replicate the results of grilling food indoors. The pans come in several different materials, the most popular of which are aluminium, cast-iron, stainless steel, ceramic and non-stick surfaces. The material of your particular grill pan affects what cooking methods you use, including whether you use oil.
Cast-Iron Grill Pans
Cast-iron grill pans require a process called seasoning. Clean a new pan thoroughly, then heat it and apply a thin layer of oil before use. The oil penetrates the pores of the cast-iron, opened by the heat. Repeat the seasoning process until the grill pan gains a smooth patina. Use hot water and a stiff brush to clean the pan; avoid soap as much as possible. Once the pan is seasoned, it won't generally be necessary to add oil when cooking.
Aluminium, Stainless Steel and Ceramic Grill Pans
Aluminium, stainless steel and ceramic grill pans work better with a thin coating of oil. However, if you use oil, you can't heat the grill pan as hot as you otherwise could; too hot, and the oil will smoke unpleasantly. Unfortunately, it's the extreme heat that makes food taste grilled. For this reason, these grill pans can't really replace outdoor grilling -- they only give the appearance of grilled food, not the taste.
Non-stick Grill Pans
Non-stick grill pans are actually the opposite of stainless steel, ceramic and aluminium pans. It's dangerous to heat dry non-stick surfaces above about 300F, because they may release toxic fumes. You can get the pans slightly hotter when they are oiled, but non-stick grill pans still aren't really suitable for the kinds of temperatures that make for good grill marks and a nicely charred exterior on food.
Moulded Versus Punched Grill Pans
Gill pans are shaped either by pouring molten metal into a mould or by using a mechanical press to punch the grill lines into a flat piece of metal. Punched grill pans get hotter than moulded grill pans because the heat source hits the metal closer to the surface of the grill lines; there's less thermal mass in the way than with moulded pans, which have flat bottoms. Many moulded models can be flipped over for use as a griddle, however, making them more versatile.