Jenkins + Grails or Jenkins + Gradle + Grails
The easiest is to use the (built-in) grails wrapper (http://grails.org/doc/latest/guide/single.html#wrapper).
You would then run
./grailsw refresh-dependencies./grailsw test-appFirst line to setup (install all plugins etc.) grails and second to run your tests.
The advantage of grails wrapper is that it takes care of downloading & installing the correct grails version. Which is very useful if you upgrade grails. You don't have to do anything on your ci server.
There is also a grails plugin for jenkins (https://wiki.jenkins-ci.org/display/JENKINS/Grails+Plugin) that supports the grails wrapper.