Call me a pessimist, or a dull-tongued philistine, or even Rock Hudson if you must, but while I like coarse salt, I am skeptical of it actually tasting different in many applications. I think it gets sensed slightly differently when still in coarse form, ie., finishing salt or crusting on a grilled item, but in items where it dissolves, I bet careful taste testing with a neutral proctor would not show a significant difference from cheap, plain salt, if there were any other flavors whatsoever. I would always use coarse salt when grilling, I think on a steak, you want those large crystals of sodiumy goodness. I have some cretian smoked salt flakes that are interesting, but kinda funky tasting. I'd rather just use plain salt and add my own hickory smoke the old fashioned way!
Of course cap is into grilling with only salt as a flavoring agent, so in that case, use the best salt you have! http://stuffwhitepeoplelike.com/2009/01/04/119-sea-salt/
Oh, and bacon salt is nasty. Nasty crap. Like ground up expired Bacos diluted with salt.