The oil itself has a very high level of antioxidant vitamin E (60-120 mg/100 g), which makes it very stable. Most importantly, grapeseed oil is one of the lowest in saturated and one of the highest in the essential fatty acid, linoleic acid, also known as omega 6.
IIRC, one of Dr. Andrew Weil's books (he of the alternative health and bushy white beard) makes the claim that a typical diet gets plenty of omega 6, but needs more omega 3 (from stuff like salmons, sardines, walnuts, flax seeds, etc.); in prehistoric times the ratio of omega 3's to omega 6's was reversed. I still like grapeseed oil, though, and it's rare to go through a few Charlie Trotter recipes or episodes of his TV show that doesn't include a grapeseed reference or two.