There is not a built in way in GWT to do this, nor would it make a whole bunch of sense to put it in there. You mention a grid, so I'm guessing you have data that roughly approximates a matrix of some form, while making lots of assumptions, the rough technique you might want is something like this: (no compiler here warning)
final Map<Button,Object> buttonToCellMap = new HashMap<Button,Object>();
ClickHandler myClickHandler = new ClickHandler() {
  public void onClick(ClickEvent event){
    Object thingInCell = buttonToCellMap.get((Button)event.getSource());
    //do something with the thing in your grid here
  }
}
for( List yourRow : matrix ){
  for( Object yourObject : yourRow ){
    //logic to make your grid cell goes here
    Button aButton = new Button();
    buttonToCellMap.put(aButton,yourObject);
    aButton.addClickHandler(myClickHandler);        
  }
}
This will give you access to the object you care about in location x,y in the grid when the corresponding button has been clicked.