We can set the appearance of the grid like follows:
\pgfplotsset{
grid style = {
dash pattern = on 0.05mm off 1mm,
line cap = round,
black,
line width = 0.5pt
}
}
The result may look like this:

At the intersection of the x- and y-grid-lines, this looks not very nice. What I like to see is somewhat like this (only recognize how the dash pattern is chosen differently in x- and y-direction to fit nicely):

This will produce somewhat like the first image:
\documentclass[a4paper,10pt]{scrartcl}
\usepackage[greek,english]{babel}
\usepackage[utf8]{inputenc}
\usepackage{pgfplots}
\pgfplotsset{
grid style = {
dash pattern = on 0.05mm off 1mm,
line cap = round,
black,
line width = 0.5pt
}
}
\begin{document}
\begin{tikzpicture}
\begin{axis}[grid = major]
\addplot[color=red,mark=x] coordinates {
(2,-2.8559703)
(3,-3.5301677)
(4,-4.3050655)
(5,-5.1413136)
(6,-6.0322865)
(7,-6.9675052)
(8,-7.9377747)
};
\end{axis}
\end{tikzpicture}
\end{document}

grid=bothin theaxisoptions, and I'd be surprised if it did, becauseline styleis not a standard PGFPlots or TikZ style. The correct way to get dashed or dotted lines is to just saygrid style=dashedorgrid style=dotted(orgrid style={red, dashed}if you want more than one option. You can find the styles that are available in the PGF manual. – Jake Feb 04 '13 at 12:33