Grass fed implies a more open-range and healthier animal. Doesn't have to be that way, of course, you can stick a steer in a pen and force-feed it grass just like they do with corn, but if nobody's pulling a fast one a grass fed cow is going to be more "natural" than a corn-fed one. If that "natural" floats your boat, then you know which way to go.
All that said, I agree that a nice hunk of corn-fed Iowa beef is darned yummy. I doubt I'd turn down a steak even if you told me the cow was a card-carrying Commie who thought lightsabers weren't cool and wanted to retire the A-10. I am a whore for beef.