Grignard Reagent in THF vs in Diethyl ether
THF has a number of differences with diethyl ether:


Oxygen non-bonding doublets are more available for bonding with magnesium because the 2 ethyl groups are not freely rotating around (you may think of THF as diethyl ether with its arms tied in its back).
THF boils at 66°C (ether 34.6°C). Because the reaction is usually carried out so to maintain a gentle reflux, the higher boiling temperature of THF will speed up the reaction, and solubilize reactants/products better.


As @Alchimista pointed out, THF is just one of the possible solvents you can use if ether fails or gives poor yields. You can also use higher boiling ethers like dimethoxyethane.

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