Read Raihan J's answer, then add the following:
The grail legends in the King Arthur stories may have been derived from the earlier Celtic myths concerning a vessel of plenty that constantly fed the people. In the later worship of Mithras, a god widely worshiped by Roman Men, particularly soldiers, the Crater, a large bowl much like a chalice with handles, was held sacred and was used in their communal meals. Both of these ideas may have added to the myth of the Grail.
The Bloodline theory, which was popularized by but nor invented by Dan Brown in the DiVinci Code, is the belief that Jesus and Mary Magdalene were married and that they had a child. After the Crucifixion, Mary and Joseph of Arimethia brought the child to Europe. This child was the Grail, because she carried the blood of Christ in her veins.
Personally, I believe that looking for the Grail is the point of the quest. Anytime we do something for another person without thought of self, but ultimately benefit not only the other person but ourselves, we are on a grail quest. With this idea in mind, watch THE FISHER KING and INDIANA JONES AND THE LAST CRUSADE. By the way, MONTY PYTHON AND THE HOLY GRAIL is a farce. They never find the grail because they don't really know what it is or why they are looking for it. The one time they thing the have found it, it is a false grail.