If you're the type who loves to use grill everything, the folks at The Art of Manliness have a great guide on how to roast your own coffee beans on a gas grill. The method requires little more than time, heat and a hand-cranked popcorn popper.
Granted, you'll need the green, unroasted beans for this. The article notes that you have to use a gas grill for this, since charcoal has trouble getting hot enough to really roast the beans. They also note you could use the same method on a stove inside, but grilling outside ensures that you don't smell up the house.
Preheat the burner, add the beans to the popcorn popper and start cranking them. The whole process will take about 15 minutes or so (longer if you want a darker roast), and you'll want to stir them every few seconds the whole time. They'll start to turn yellow and get smokey as water released turns to steam.
You'll want to listen for the beans to start "cracking" or making a popcorn-popping like sound that indicates they're roasting up nicely. Wait long enough and you'll hear a second set of cracks: they're softer, and the Art of Manliness describes them like the sound of bubbles popping in the air -- that's when you'll want to bring them off the heat.
There's some trial and error involved, but leaving them on for much longer will risk burning the beans. They also note you can get even more precise control by using a thermometer instead of going by sound.
It's not totally a DIY method -- after all, we've shown you how to roast coffee beans in a frying pan and with a drill, but this is the method the folks at Tested used -- except with a stove -- so moving the method to the grill makes perfect sense. Check out the full article for a walkthrough of the method if you want to try it out yourself.
How to Roast Coffee at Home on the Grill [The Art of Manliness]