The holy grail should not only be rare and significant; it should also be part of the misty origins of the hobby--likewise, the holy grail of legend is not the nicest chalice, but the one used at the Last Supper. It has to do with origins. It should also, as has been said, be impossible or nearly impossible to obtain, with its very existence (in the present day) being somewhat in doubt.
So, for the Lionel collector, I would say the holy grail is not a train. It is that fan with flat blades that J.L. Cowen tried to produce before he went into trains.
According to "legend" (i.e., the Lionel VHS made back in the LTI days), it was the failure of this product that forced J.L. to come up with his famous "window displays" to make some money. This useless fan is at the origin of all Lionel trains. It definitely (maybe) existed. It is the subject of folklore. It may exist, even today, in a lost cavern (basement) or ruined tower (attic) somewhere in New York or New Jersey. To find it would be the most epic quest of traindom, the hunt of all hunts.
That fan is the holy grail!