I am a bit pony obsessed, so thinking of grails outside of MLP collecting is a bit hard. So I did some serious thinking, and let's see.
I admit that if I had the money, I would still like the IT doll for Graphix. She never made the Jem show, but I know she's associated with the Misfits, so she's the gap in my collection. But I bought my IT dolls when I was working, and now I'm a full time student, that's more difficult. Prices have gone up, and exchange rate has got worse. It's just not practical. I would like her, one day, I think.
I'd also like the outfit for Stormer that they released (I think of it as Makin' Mischief, I don't even know what IT is calling it) because it's pretty and my Stormer doll would like it. But again, money. If money wasn't an object, I would buy BBU Kimber and Stormer, or at least rebel Kimber because she's almost a Misfit. But it probably won't happen.
Outside of that...I recently got the MH and EAH dolls I had most wanted - Gloom & Bloom Jinafire, and Justine Dancer. But I wouldn't call them grails. Grails are something more than that I think.
Oh, I thought of something. It is a grail of mine, and has been for a long time.
I am a fan of the Japanese manga and anime Saiyuuki. There are dolls of the four main characters with actual hair, as opposed to being figures. They're really not common. I lucked out and got Sanzou, somehow, off Yahoo.jp ages ago. He's still the only one I have. I really want Hakkai and especially Gojou. I have never even seen them for sale, though, not even in Japan :/ So I guess they're grails.
I have the blond one (not my images). The other one is the grail
I also want the doll for Takagi Shimon from SotsuM, but that's a bit different. I have seen him for sale lots of times. I just don't want to buy the whole set of dolls to get him, because it's a lot on shipping, and I already have the two from the series I want, one of them twice O.o.
Finally, it's not so much a grail, but there is a ton of Genpei related stuff in Japan that I didn't get to bring home with me. Modern merchandise of mediaeval Japan is really interesting to me. And that's almost a collection in its own right now for me. Anything Taira related is good with me - most of the stuff I find is Yoshitsune related or Genji. I guess if there's anything out there that has Munemori involved in it, that's my grail. That may be weird, but that's where my academia meets my hobbies