I think this line with 2...dxe4 3 Nc3 Qd4 is way too compliant: White ends up with a reversed 4 Qd5 Englund Gambit where the extra tempo helps White.
Stefan Bucker provided analysis, suggesting that Black can steer the game into channels where the move g2-g4 is a hindrance to White and Black ends up with a large advantage, you can find it here:
http://www.chesscafe.com/text/kaiss29.pdf White's best responses are probably 2 Bg2 and 2 h3, though probably with a slight edge for Black if Black develops normally and shores up the long diagonal. I'm not averse to playing dubious openings myself, and have little doubt that the Grob can work in the hands of unorthodox players below master level, but the Grob certainly isn't my style.
Anyway, much of this is moot because when I play Black, I meet 1 g4 with 1...e5, with ideas of developing quickly and throwing in Ne7-g6, h5 etc. at appropriate monents. In my opinion this is no worse for Black than the standard 1...d5 followed by c6, and chances are White won't be as prepared for it.
Ironically, my most recent experience of this type of opening was in a casual friendly game when someone played the reversed Grob (1 e4 g5) against me. I continued 2 d4, and my opponent, seeing that the g-pawn was attacked, responded 2...f6 to defend it. Not a success.