Grids are light modifiers which attach directly to the front of the small reflectors which are in front of most strobe light units. Grids are wafer-like objects with a grid or honey comb of small holes in them to allow light to pass through. Grids modify the light by restricting the angle at which it leaves the reflector. This has the effect of limiting the spread of the light beam and changing the shadow edge feathering.
The effect of a grid is measured in degrees. A 10 degree grid will have very small holes in it and will result in a tight concentrated light beam and a fairly sharp shadow edge. A larger 40 degree grid will have a much larger cell structure and will provide a broader light beam with softer edge transitions.
Grids allow better control of where light falls on the scene and are commonly used where light control is critical. One example use of grids is for hair lights and kickers where you want the light to fall on a very specific part of your subject. Another common use of small angle grids are to provide a pleasing circle of accent light on the background material when mounted to a background light.