Skirt steak is one of the most flavorful cuts of beef, and even though it's also one of the tougher cuts with a lot of connective tissue, it's still a great steak for grilling. Skirt steak comes from either of two separate muscles inside the chest and abdominal cavity, below the ribs, in the section of the cow known as the beef plate primal cut. The two muscles are the diaphragm muscle, called the outside skirt, and the transversus abdominis muscle, or the inside skirt.
Both the outside and inside skirts have a good amount of fat within and between the muscle strands, which helps keep it moist when grilling. The grain on the inside skirt is a little bit wider, so it might have slightly fatter.
A lot of skirt steak recipes call for marinating the meat before grilling it, and because of its looser structure, skirt steak will absorb the flavors of the marinade quite well. But there's no need to marinate it for more than 30 minutes or so, as marinating does not tenderize meat.
Since skirt steak is tough, the best way to cook it is very quickly over the hottest grill you can get. Some people will even skip the grill altogether and cook it directly on the coals. This works quite well, because you do not want to overcook skirt steak. Cooking it directly on the coals gets the surface of the meat nice and brown very quickly, without cooking the inside of the meat for too long. Ideal doneness is medium-rare to medium.
Most importantly, skirt steak absolutely must be sliced thinly against the grain. Because it's so long, your best bet is to cut it into shorter sections first and then slice those sections across the grain.