taxonomically, steelhead were re-classified as salmon about 20 years ago. They are not as oil and fat-rich as some of the Pacific salmon, notably sockeye, king and silvers. They CAN be delicious grilled or smoked, like a previous poster mentioned, colored-up fish are better smoked, and brighter fish tend to be better grilled. Every now and then, in defiance of color or shape, you'll get an extremely strong tasting fish that you wished you hadn't cooked.
Best tasting grilled steelhead recipe I've found it quite simple - chunked, skin on, skin down over the hottest coals possible. Lemon pepper, and a shot of any Italian herb blend. Brush on a mix of melted butter and honey after the fillet is starting to dry at the edges, then carefully work a spatula between flesh and skin and flip meat back on to the skin. Scrape off and brown/silver fat remaining on skin side, and brush again with honey/butter. This is good hot off the grill, but a LOT better served chilled.
Serve with a cold lemon/dill mayonnaise.