The Grail is a worldwide organization that guards the greatest secret in the world:
Jesus Christ did not, in fact, die.
When he was on the cross, he was fed a soporific drug, which put him into a deathlike coma. His body was taken down and hidden away. Three days later, he awoke from his sleep, alive and healthy. The legend of the resurrection and ascension into Heaven were put about to hide his escape, and they were believable enough.
Christ went on to live with his wife, Mary, and their children. At the age of forty-eight, he was run over by an offal cart and then, in fact, died.
The bloodline of Christ, however, was considered divine, and a group was set up to guard it. That group became known as The Grail. Over two thousand years, they carefully preserved the bloodline of Christ, making sure it was not tainted by impurity. In practice, this meant a prodigious amount of inbreeding. The final descendant was an idiot in every sense of the word, but he had the paperwork to prove his divinity. The plan was for The Grail to start a global nuclear war in the year 2000, and then stop the war, presenting the Messiah as the savior of the planet.
In truth, The Grail would then rule the world, and the Messiah could be conveniently dismissed.
Many of the Grail faithful believed that the Messiah would truly save the world, overlooking his obvious flaws. But a few, including the Grail's Sacred Executioner, Starr, knew exactly what he was, and that he could not be allowed to live.
Starr planned to use Jesse Custer, a young man from America with the power of Command, as a new Messiah. By doing so, however, he made an enemy of the Grail's Allfather D'Aronique, and placed himself between Custer and the implacable Saint Of Killers.
The Messiah was killed during Starr's escape from Masada when the Allfather was dropped on him from a great height.