A simple DIY way would be to make the grid yourself:
import matplotlib.pyplot as plt
fig = plt.figure()
ax = fig.add_subplot(111)
ax.plot([1,2,3], [2,3,4], 'ro')
for xmaj in ax.xaxis.get_majorticklocs():
ax.axvline(x=xmaj, ls='-')
for xmin in ax.xaxis.get_minorticklocs():
ax.axvline(x=xmin, ls='--')
for ymaj in ax.yaxis.get_majorticklocs():
ax.axhline(y=ymaj, ls='-')
for ymin in ax.yaxis.get_minorticklocs():
ax.axhline(y=ymin, ls='--')
plt.show()