Even though there is an accepted answer, thought I would give my 2 cents.
If you just want to convert to grayscale using default conversion method, IrfanView does the job. However, for those who might want to specify exactly how the colors are to be converted to grayscale I thought I will mention the program I use.
It is commercial, but allows one to specify how much Red, Green, and Blue contribute, as well as allows one to use Lightness or Intensity "channels" of other color models like HSL and HSI to achieve conversion: Batch Image Processor In addition it has various options for saving grayscale images: 8-Bit Bitmap, 8-Bit PNG, 8-Bit GIF, and some others. And if you need, it has a host of other image processing functions like brightness, contrast, etc.
So my take is that if you just want to convert to grayscale using some default implementation, use IrfanView, but if you need more flexibility, options, and perhaps want to compose different batch processing actions together, use more professional tool like the one I mentioned.