Out beyond Milimani in the west, Roadhouse Grill is widely touted by locals as the best place for nyama choma (barbecued meat). The meat (choose the goat) is prepared just as it should be: medium rare and perfectly tender. Order a side of ugali (a maize or cassava-flour staple) and some kachumbari (tomato-and-onion salsa), and you're halfway towards being Kenyan.
It's a wonderful place at any time, but it's perfect for the after-nightclub munchies just before dawn. There are other branches around town.