Historically, the existence of the Holy Grail has never been proven..... but the legends about it abound.
CATHOLIC ENCYCLOPEDIA: The Holy Grail
The High History of the Holy Grail : PRIMARY SOURCE DOCUMENT
Holy Grail : Offers a massive archive of Grail images, as well as a probable history, theories, a discussion group, articles, and related links.
The Legend of the Holy Grail : Cool site that tells the legend in concise terms.
An Introduction to Current Theories about The Holy Grail: Some good information.
Holy Grail - The Camelot Project : Explains the myth behind the religious object and provides links to poems written about it throughout history.
The Holy Grail : History and legends of one of the most important relics of Christendom. THIS IS A HUGE SITE.
The Role of the Knights Templar in the Grail Legends : Good information. And you may need The Knights Templar Preceptory Portcullis , a site that explains the Knights Templar in history.
Mythical Quest: Holy Grail
The Story of the Grail : The legend is here.
The Grail Legend: from ancient stories to Wagnerian opera : A multicultural look at the Grail in history.
Parsifal and the Holy Grail : a knight named Parsifal and the retelling of the classic myth of King Arthur and the Holy Grail highlights its significance for the present age.
Perlesvaus : Nothing historical here, but it is cool story told on some media intensive web pages. (Obviously, I just liked it.)