From The Heroes of Might and Magic III wiki
An object that is hidden on the adventure map. When a hero finds an Obelisk it reveals a piece of a puzzle map. When the map is complete, sometimes before, there will be an X marking the spot where a hero should dig; you don't need to see the X to dig it up, however (the grail usually tends to be somewhere in the middle of the puzzle map). To dig, a hero cannot have moved during his/her turn. Beware! The AI at high levels will often be able to find the Grail's general location and start digging even if only ~1/3rd of the puzzle map is completed!
When the Grail is taken to a town, a structure specific to that town will be built, and the town cannot build another building that day, though the grail building can be built even if you've already built a normal building in that town that day. The primary bonuses that all towns get are an extra 5000 gold and 50% additional creature growth.