I'm thankful you are concerned about the spiritual welfare of your grandchildren. My wife, Ruth, and I often pray that our own grandchildren (and now great-grandchildren) won't just remember the good times they had visiting us, but will remember most of all that we tried to live for Christ.
Your local Christian bookstore is one place to start your search for a suitable gift. You don't say whether or not your grandchildren go to church or are active in a Christian youth group; if so, you might ask their parents for suggestions about Christian books or recordings of Christian music they might want. Even a plaque with a Scripture verse on it or some similar gift could encourage them in their spiritual journey.
You also might consider giving them a Bible one that will encourage them to read it for themselves, and will last a long time. Your bookseller can help you choose a modern translation, and some study Bibles are geared for young people. Remember the psalmist's words: "How can a young man keep his way pure? By living according to your word" (Psalm 119:9).
The greatest gift you can give them, however, is the gift of yourselves. Your example of Christian living will remain in their memories long after your other gifts are forgotten. Ask God to help you be an example to them of Christ's love and joy.