While kicks can be very powerful techniques, they carry some risks and may leave you very exposed to the opponent. A particular case is when the opponent grabs the kicking leg: things can go bad very quickly if this happens.
In the case of Taekwondo, I often hear this from other martial art practitioners, as an objection to the style's effectiveness in a fight. Of course, there is no definite answer, and the outcomes depend on the skill of the opponents, the styles they train, the context and rules of the engagement, etc.
Still, there is some point in the critique, and a kicker should be prepared to react when this happens. Thus my question:
How should a kicker react if his kicking leg is grabbed by the opponent?
For the sake of objectiveness, we can focus on the case of a roundhouse kick, although explanations of front or side kicks, would be also welcome.