Grief Seeds are black orbs with particular grey designs around them. They’re an important item dropped by dead Witches which holds a lot of power that’s important for Magical Girls in order for them to survive. They can cleanse Soul Gems, but they’re also the final forms of Soul Gems that make Witches exist in the first place.
Kyubey likes to eat them because if he doesn’t, the Witch that the Grief Seed originated from will be born again. And if a Witch consumes a Grief Seed, she’ll get stronger.