I went with the portable grill Sam's sells. It is stainless, has latches on the cover, has a cloth cover, draws less than the 25,000 BTUs airstream sets as the limit on the external LP port... And it's cheap. Here's the link: http://www.samsclub.com/sams/portabl...prod2500002.ip
To answer the OP's question, most gas grills have a regulator when they come out of the box. That regulator allows the grill to attach to its own (high pressure) LP cylinder. Since you are planning to attach to the trailer's (low pressure) LP port like I do, that regulator duplicates the role of the regulator(s) (or regulator and crossover valve) already on the trailer. You don't need the second one and as you observe it probably stops gas flow to the grill.
Your grill may differ, but on mine the regulator wad joined to the grill's hose by a threaded brass fitting. I suspect the hose end was a 1/4" male NPT fitting. As other posters have said, the trailer should have cone with a male fitting to plug into the female LP quick disconnect on the trailer. If you don't have that, no worries. That is an industry standard and the fittings are the MB Strugis model 250 1/4" low pressure type (Google that... You'll find plenty of parts). You may need a coupler to join the fitting to the hose end after the regulator comes off. Any big box home store or reasonable hardware store should have that.
When joining brass fittings for LP or other combustible gas, please use the yellow Teflon tape. It's double thickness and intended for gas. Also, connections should be checked for leaks once pressured by using a bubble liquid. Alternately, you may ask my wife to stand within 50' of the trailer. If she doesn't say "I smell gas" within 2 minutes, you're good to grill.
Finally, unless you want to grill on the ground right next to your trailer (or under your LP tanks... Yikes!)... Get an extension hose with quick disconnect fittings at each end. Here's a suitable Camco model as presented by Walmart: http://www.walmart.com/ip/29764621?w...670072&veh=sem
To Protag's point... venting the hose is of course a good practice. The valve on your trailer includes a shut off. In fact Sturgus 250 connectors can only be joined or unjointed when that shutoff is in the off position. Remember that when you plug in your grill you must then throw the lever on the valve before cooking. Turning it off and allowing the gas in the line to burn at the grill is a good way to vent it. Venting prevents occasional loss of eyebrows or the need to change pants just before serving steaks to your family.
I hope that helps.