You can find grout either at your local hardware store or sometimes at your stained glass dealers studio. But like I've warned you - it may cost more.
At your hardware store, you'll most likely find earthy toned grouts and white. Sometimes you'll get lucky and find a maroon or green. Otherwise, special colors will need to ordered. You other option is to dye your grout. The benefit to that idea is that you can dye your grout any color. Make sure you buy one step grouts that require just adding water. Otherwise you'll need to purchase a 3 part mixture which can get annoying when it comes to finding the right proportions.
There are 2 types of grout: sanded and non-sanded. I work with sanded grout which gives my work an added texture and look. And the main difference and that the sanded has larger grains of sand in it where as the non-sanded is ground up so much that its essentially a powder. Don't worry about scratching your glass, the surface of the glass is tempered well.