The nearest station to Grimstad is Nelaug station
You can take "Sørlandsbanen" (the Southern Railway) from either Stavanger or Oslo. The nearest station to Grimstad is Nelaug station outside Arendal. Take "Arendallinjen" (the Arendal Railway) to Arendal and bus to Grimstad.
An other option is to take the train to Kristiansand and a direct bus from there.