There are very simple examples: $R=K[x,y,z]$ and $I=(xy,xz)$. In fact, $I=(x)\cap(y,z)$. Obviously, the height of $I$ is one, and thus its grade is also one ($R$ is Cohen-Macaulay). The associated primes of $I$ are $(x)$ (which has grade one) and $(y,z)$ (which has grade two).
**Added later** : An ideal $I$ with the property $\operatorname{grade}(I)=\operatorname{grade}(P)$ for all $P\in\operatorname{Ass}(R/I)$ is called _grade-unmixed_. An important class of such examples is given by the _perfect_ ideals, that is, ideals $I$ with the property $\operatorname{grade}(I)=\operatorname{pd}_R(R/I)$.