It's more of a show piece — or, at best, a kind of portable hot plate — but this conversion of an Altoids mint tin and Bic-style lighter into a miniature grill is definitely a fun, do-able mini-project.
You can read up on H-M Innovations' step-by-step grill tutorial at Instructables, but they've also patched together the steps in a handy video:
You need a few specialty items beyond the lighter and the tin to get this done, but they're relatively inexpensive and common among hobbyists. It's also not a grill you'd want to grill on directly, due to the use of butane gas, but you can place a very small plate or pan over it or heat up water in a can. For the fully edible (but slower) Altoids grill, go with the Sours BBQ Grill.
Mini Altoid Gas Grill [Instructables]