I haven't had one, but I can tell you what I would do. On the spot radio, newspaper (I'm talking full page), maybe some unaddressed ad-mail. Signage, lots of street signage. And killer deals. I'm talking "do it for what it cost" deals, for one day only.
The purpose of a "grand opening" is to generate awareness and allow your business to build its public profile. Not to make profits that day.