If you are having problems with Grim Fandango crashing, you should get this patch. Or even if it isn't crashing, you should still get it, as it is a vital patch released by LucasArts.
This patch fixes reported problems associated with having a very fast machine (Pentium II-400 and faster), a crash associated with copying over all the .LAB files from users’ CDs to their hard drives, and some other problems.
The patch is roughly 2MB. You can get the file from the following locations:
Some people seem to still have problems with the game even with the patch installed because their CPU is too fast. This is especially at the conveyer belt in year 3 and the wine lift in year 2.
This can be fixed with a program called CPU Killer. It will slow down your CPU so you will be able to do the puzzles. Setting it down to something around 300MHz should fix the problem (but you will have to be patient through the loading sequences). Oh, and, use it at your own risk, we cannot take responsibility for any damage to your computer caused by the program.