It has 2 meanings that I can think of, and both are closely related. It is supposedly the cup that Jesus drank from at The Last Supper. It is in common usage today as a metaphor to describe a virtually unattainable goal. For example "The Holy Grail of football is the World Cup".
In addition to being the cup that Jesus drank from at the last supper it is supposed to have caught his blood at the bottom of the cross when he was crucified.