In-demand winger Wilfried Zaha bumped up his price tag by firing Palace into the lead in style.
But a goalkeeping error by Julian Speroni allowed Keith Southern to claim his first goal for Huddersfield as the visitors snatched a draw.
It was harsh on Speroni, who kept Palace in the game in the first half after they were reduced to 10 men when Damien Delaney was sent off after only 11 minutes.
Huddersfield also ended the match with 10 men after Anthony Gerrard saw red late on, but they held on earn a share of the spoils.
Grayson said: "You're happy to get a point when you come down to Crystal Palace, a team which are flying at this moment in time.
"But when you look back and reflect on the game, we had some good opportunities. Their keeper made some fantastic saves and we had an opportunity to score from the penalty.
"Anthony Gerrard's sending off? Not from where I am and not from what I've seen on the TV. He didn't jump in, he didn't lead with two feet so I think he's got that decision wrong.
"We're disappointed with the decision which got Anthony Gerrard sent off.
"I would have thought we will appeal but you never know. We had one of those at Charlton and we thought we'd get Keith Southern off but we didn't. You don't hold too much breath."