The majority of gas grills use metal tanks full of liquid propane (LP) gas. LP gas has the advantage of coming in a portable tank, and it is available nearly everywhere, whereas natural gas uses a pipe connected to the gas main at your home.
Why can you get LP gas in a tank but not natural gas? Propane normally changes from a liquid to a gas at -46 F (-43 C). However, propane has the nice property that when you compress it, it condenses into a liquid and will stay that way until it is uncompressed. This means that propane is much easier to store in a tank than natural gas, which does not easily compress. Because natural gas doesn't compress well into a liquid form, it is typically delivered via a dedicated pipeline to your home.
Another benefit of LP is that it contains much more energy than natural gas. A grill's cooking capability is rated in British thermal units (BTU). A BTU is the amount of heat required to raise the temperature of 1 pound (0.45 kg) of water 1 F (0.56 Celsius). A cubic foot of natural gas contains something like 1,000 BTU of energy. One cubic foot (1 ft3) of propane contains perhaps 2,500 BTU. Grills typically range from 20,000 BTU to about 50,000 BTU. A higher BTU rating normally indicates a larger grill with a greater cooking surface.
On a grill, you can see the difference between natural gas and LP most easily by looking at the pipes connecting to the burners. The pipe on a natural-gas grill is about twice as big as the one on a propane grill. Natural gas is mostly methane but contains significant quantities of other compounds, including butane, ethane and propane. You normally would only buy a natural-gas grill if you plan to connect it directly to a gas pipe in a permanent location and if natural gas is available in your area.