I think the Grob attack is unsound and the best way to play as Black is to simply call out White's bluff and occupy the center. After 1. g4 d5 2. Bg2 e5, the main line as per a Rybka 4 book seems to be 3. c4. I saw that in the main line, Black's position is in fact better. 3. h3 seems to be another main line, but I don't see what White has achieved then. Black has good control of the center and can in also play h5 when White's pawn structure on the kingside is pretty weak.
I also analyzed an interesting alternative in 3. d3!? but found that there too Black gets an excellent position. Here's how you play as Black -
[Event "Grob Attack. Black occupies the center"]
1. g4 d5 2. Bg2 e5 3. c4 (3. h3 Nc6 4. d3 h5 5. g5 Nge7 6. Nc3 Be6) (3. d3 Bxg4 4. c4 c6 5. Qb3 Nf6 6. Qxb7 Nbd7 7. Qxc6
Rc8 8. Qa4 dxc4 9. dxc4 Bc5 10. Nc3 (10. Nf3 e4) 10... O-O 11. Nf3 Nb6 12. Qb3
Nxc4 13. O-O (13. Qxc4 $4 Bxf2+ 14. Kxf2 Rxc4) 13... Qe7) 3... dxc4 4. Qa4+ c6
5. Qxc4 Be6 6. Qc3 Nd7 7. Nf3 Ngf6 8. Nxe5 Nxe5 9. Qxe5 Nxg4
In the final position after 9...Nxg4, we can say that Black is better and here's why-
Black already has two pieces developed versus White's lone developed bishop on g2.
The bishop on g2 is blunted by the pawn on c6, so it is not so strong.
White's queen is awkwardly placed and will have to move, losing tempo.
White has more pawn islands than Black, so White's pawn structure is worse.
White's kingside is a bit vulnerable because of the absence of the g-pawn, thus it will not be a safe haven for the White king when it castles kingside.