Actually, Grover first appeared in the first season, but he was gray green back then, and apparantly he was just a random, nameless monster. However, while I believe that I've read that he didn't seem to have much of a personality in the first season, I do know of three sketches where he his personality was close to how it is today (and two of those three skecthes were later remade with the blue Grover). If you only count the blue Grover regarding Grover appearances, then his first sketch was I Whistle a Happy Tune, from the second season premier.