There was the pure unadulterated ecstasy of captaining Leicester City to a Wembley triumph that finally banished memories of missing out on Premier League football in the previous two years by losing under the Twin Towers.
Or the heart-stopping drama in 2012 that saw Grayson unable to watch as his Huddersfield Town side prevailed on penalties despite missing their first three spot-kicks in a shoot-out with Sheffield United that saw all 22 players take part.
The flipside to those joyful occasions can be found in not only the two Wembley defeats he suffered as a player with Leicester in 1992 and 1993, but also two nights in Yorkshire as a manager when a whole season’s work went up in smoke courtesy of aggregate semi-final defeats.
A decade has passed since Leeds United were unable to get past Millwall at a raucous Elland Road, but the frustration felt by Grayson remains.
As it does over how Rotherham United ended his Preston North End side’s dreams of reaching Wembley in League One in 2014.
These contrasting emotions felt over nine tilts at the play-offs down the years means the 49-year-old is ideally placed to understand what will be going through the minds of everyone at his old club Leeds, and Doncaster Rovers this week, as the clock ticks down towards the 2019 promotion deciders getting under way.
“The key at this stage of a season is to keep things as normal as possible,” said Grayson to The Yorkshire Post.
“It can be tough to do that at times. There is so much at stake and a whole year’s work is on the line.
“But experience teaches you how best to try. I picked up some of that as a player.
“We seemed to be at Wembley every year with Leicester at one stage and I learned a lot, especially when we lost the first two.
“There will be setbacks for every team involved in the play-offs. There always is. It can be the same for a team who wins automatic promotion when the pressure is really on.
“I think back to the year we went up at Leeds (2010) and had an awful run late on. No one could see it ending, but then we went to Yeovil and won 2-1 with Richard Naylor getting both goals.
“Suddenly we had the bit between our teeth again and went up on the last day.
“We had something similar in 2015 at Preston. We were in the top two for weeks, but then missed out on automatic by losing at Colchester on the final day.
“Everyone’s chin was on the floor in the dressing room. Lower than a snake’s belly, if I am honest.
“We had lost to Rotherham in the play-offs the year before so no one wanted to be there.
“So I made sure I got everyone together before the flight home and explained we had another chance.
“Those who had finished seventh or eighth didn’t have it, but we did, and we couldn’t waste it.
“Three weeks later we won promotion at Wembley.”
Grayson’s experience may offer head coach Marcelo Bielsa hope heading into Leeds’s double-header with Derby County. Just like Preston four years ago, United are still reeling from a horrible end to the regular season that saw the final four games yield just one point.
But North End bounced back to beat Chesterfield 4-0 over two legs before thumping Swindon Town at Wembley by the same scoreline.
It ended the Lancashire club’s long wait for promotion via the play-offs at the tenth attempt.
Leeds’s record is not quite as bad; they have had four previous unsuccessful attempts with the most recent under Grayson in 2009.
“We went to Millwall for the first leg and lost 1-0,” he recalls. “But I was really confident ahead of the second leg. Luciano (Becchio) scored and the place was bouncing. There was an unbelievable momentum about us.
“I felt a second goal was on the way. But one of their players got injured, the delay sucked a lot of the noise out and we never really got it back.
“That is not the fault of the fans. It is hard to sing all the way through a delay for an injury. Millwall regrouped, (Jimmy) Abdou scored and the stuffing was knocked out of us.
“We played well that night. We did not freeze or anything like that.
“I believe to this day we would have gone through but for that injury. The bottom line, though, is we were out.”
Leeds head to Pride Park on Saturday tea-time, and Doncaster have home advantage first against Charlton Athletic the following lunchtime.
Both White Rose clubs face a big challenge to reach Wembley, not least because both the Rams and Addicks head into next weekend in much better form.
With that in mind, Grayson believes keeping it tight in the first leg will be crucial.
“The big thing about the first leg is to make sure you are still in the tie by full-time,” said someone who has won all three of his play-off finals as a manager.
“Some make the mistake of throwing everything at the first game.
“They go 1-0 down and then panic, going all kamikaze and then often paying the price after being hit on the break.
“Much is made of momentum. But as we showed at Preston (in 2015) it isn’t always the deciding factor.
“That said, I would much prefer to go in with it rather than not.”