Having lived approx. 25 miles from there for the first 18 years of my life I can tell you that Grantham is a complete fucking shithole inhabited predominately by inbred retards. I'd try and spend as little time there as possible.

If you're looking for places to go nearby I'd give my home town Lincoln a try. The Cathedral and castle are pretty impressive. It's about 30 minutes on the train if memory serves, although the city is built on a hill, all the good stuff is at the top and the train station is at the bottom.