Learn English – How did “tongue-in-cheek” get its current meaning

Rain-maker or rainmaker originates from native American tribal magicians (etymonline) and has come into English language around 1775.

It is used of a professional that is great in his field (seemingly magical) or somebody believed to be able to produce rain. Especially somebody generating a great deal.

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Wikipedia has an article on third degree interrogation. Here are its hypotheses as to its origin:

No one knows the origin of the term but there are several hypotheses. [...]

Possible origins

• The third degree of Freemasonry and the rigorous procedures to advance to that level.
• The term may have been coined by Richard H. Sylvester, the Chief of Police for Washington, DC. He divided police procedures into the arrest as the first degree, transportation to jail as the second degree, and interrogation as the third degree.
• The term may have been coined by nineteenth century New York City Police detective Thomas F. Byrnes, perhaps as a pun on his name, as in third degree burns.

As an aside, you may be interested in this popular and related question.

Phrases.org seems more definite about the origin:

In Masonic lodges there are three degrees of membership; the first is called Entered Apprentice, the second Fellowcraft, and the third is master mason. When a candidate receives the third degree in a Masonic lodge, he is subjected to some activities that involve an interrogation and it is more physically challenging than the first two degrees. It is this interrogation that was the source of the name of the US police force's interrogation technique. That is referred to in an 1900 edition of Everybody's Magazine:

"From time to time a prisoner... claims to have had the Third Degree administered to him."

Answers.com and Dictionary.com seem to agree:

third degree
"intense interrogation by police," 1900, probably a reference to Third Degree of master mason in Freemasonry (1772), the conferring of which included an interrogation ceremony.

Grill meaning to subject to severe and persistent cross-examination is a metaphor. Imagine the examinee on a grill, being intensely "cooked" through by the questioning. Etymonline says its first usage in this sense is attested in 1894.