I just happened to grill sausage on the grill tonight. I griled them for a while on indirect heat with the grill cover on. I finished them over some higher heat to get good grill marks and a crisp outer texture. Came out great. No simmering in water first.
This is my method of choice. I try to cook them slow enough that they don't burst open, then give them a little char at the end. I get all my sausage from local markets if I don't make it myself, (Lieihs and Steigerwalds for German sausages and Squadrittos for Italian), both have the right meat to fat ratio that render nice juicy, flavorful sausages so you want to retain as much of the juices as possible.
..and yes pan frying is just fine too.