Grimsby is Norse meaning Grimr's farm or village. Grimr is Odinn and "by" is found in many place-names of Lincolnshire and Yorkshire.
The really interesting one is the hybrid "Grimston" which is often quoted to show the Norse personal name linked to the Anglo-Saxon "tun" again meaning farm or village.
So Grimsby is pure Norse and Grimston is hybrid Anglo-Norse, but both have the same meaning - Odinn's gaff.