With a smoke point of about 420 degrees F (220 C) and a very mild flavor, grapeseed oil lends itself well to cooking at moderate temperatures. It is also often highly refined (although it is possible to find virgin versions), meaning its health benefits are going to be significantly lower than those of unrefined oils. However, because it is so difficult to get the oil out of a grape seed, most producers will use hexane in the process. Hexane is a carcinogen, and it's best to be avoided. There are companies (Spectrum is one that I know of) that uses an expeller press instead, and no chemical solvents.
Grape seeds in and of themselves are chock full of health benefits. The extract of the grape seed is shown to have antiulcer properties, is chock full of antioxidants, and may even help with weight control. The oil, however, does not seem to have these same properties, although virgin oils will retain more than will their more highly refined counterparts.
Grapeseed oil is particularly high in omega 6 fatty acids. Most of us get plenty of omega 6 acids in our diets, and while they are necessary in our diets, they also promote inflammation when we consume too much of them. It is best to get a balance of omega 3 and omega 6 fatty acids, but unfortunately, the American diet is replete with omega 6 and pretty deficient in omega 3's.
Bottom line: Grapeseed oil, while it may be useful for cooking, is not all that useful for anything else. If you're hoping to get health benefits from an oil, there are much better choices out there.