hi rob,
it depends a bit what you are looking for and how much you are prepared to pay; and perhaps other requirements like distance to the school and accessibility etc.
grosvenor is extremely centrally located and all "rooms" are basically self-contained studios (so not much social life!). nothing to say against that except that it is reflected in the price - it is probably the most expensive LSE residence hall you can get. if you've got the money, and don't want to rather spend it for a nice holiday or so, then go for it.
regarding alternatives, i would stick to the "postgraduate" halls. i've heard baaaad things about the undergraduate halls. from own experience i can say lilian knowles is fine - good value for money. not as close to school but in a great area.