I'm awful at cooking so I guess I'm bad at baking too. The most common baked good is bread and I can't even make that!
What are some techniques used for baking?
Well, one of the obvious ones is using an oven but you can also bake on hot ashes/stones. 
That sounds similar to grilling. I'm more of a grill type person myself.
Me too. Honestly, the closest I will get to baking anything is in the Easy-Bake Oven which is a working toy oven introduced in 1963 by Hasbro. Yes I know, my baking levels are that of a child.