A grab strap is a piece of leather that connects to the front D rings on your saddle. You can purchase one for under $12 or even make one yourself out of rope, if you're in a pinch. It should be loose enough to get your hand into (but not stuck) but not so long that it flops around.
Beginner riders love them, of course, but even an experienced rider might want one for added security on a frisky horse. they're also great for riders being longed and to keep your hands steady by hooking your thumb in the strap.