Sennheiser has wider frequency 8 - 25000 Hz and 102 dB compare to 20 - 20000Hz and 99.8 dB. I don't know much about Grado products but i use HD 380 pro and am very happy with them.
Haven't listened to either, but I know that many people don't like sennheisers below their 4xx series. I also know that many praise grados. Another thing, since the grados are open they should have a larger soundstage, and therefore be better for gaming.