"The Terrible Mr. Grimshaw" came from Blood Omen 2, apparently.

Interesting... ok, I just found out that the music used in The Terrible Mr. Grimshaw originally came from the Legacy of Kain: Blood Omen 2 soundtrack, specifically the "Did You Think You Could Defeat Me?" track. Given that I'm a huge LoK fan, it somewhat chagrins me that I wasn't already aware of this. ^^; Then again, it has been a long while since I last played it and thus I don't really remember the music that much. I only happened to find out while absently listening to the soundtracks of the various LoK games today. If I ever play back through the LoK series, I'll be keeping an ear out for that track when I get to BO2.