Microwaving, boiling, steaming? No thanks. I don't eat hot dogs too often, the meat is too finely ground and leads to a "squishy" texture. The best methods add crispy texture to the skin while driving out moisture to combat that squishiness. So, grilling, pan frying(or deep frying, but never had one this way) or baking(too slow).
I usually skip the bun, cut the hot dog up in to small pieces then vigorously pan fry them until they get really cripsy. Then sprinkle them onto baked beans like they're croutons. Beats those soggy lardons that come in the can, which you can improve by frying with the hot dog.