Alton Brown presented an interesting technique in the new “reloaded” reruns of Good Eats, also involving grated cheese (which is definitely better than the sliced cheese my parents used when I was growing up):
You heat a pair of cast-iron skillets (one slightly smaller than the other) on the stove while grating the cheese, buttering the bread and assembling the sandwich. Then turn off the heat, lubricate the pans with a bit of cooking spray, put the sandwich in the larger pan, and put the smaller pan on top of the sandwich, cooking both sides at once with the residual heat in the pans.
(The lubrication is probably not needed if you have a good season on the lower pan, but definitely recommended on the bottom of the upper pan since the bottom’s not usually used as the cooking surface and so probably is not well-seasoned.)
He also suggests mixing some smoked paprika and other spices in with the grated cheese, which is fantastic.