I'm still seeing lots of questions in the purpose of a Grand Jury, so I'm bumping JSR's explanation, which is excellent.
By its definition, a grand jury is investigative by nature. The grand jurors are there to listen to witnesses testify and determine if there is enough evidence to issue a "true bill" (indictment). So, yes Aedrys, you are correct. The grand juror is investigating and listening to evidence to determine whether there is enough evidence to issue an indictment.
Like nursebeeme stated somewhere in this thread, an indictment can come down swiftly, if the grand jurors have heard enough evidence to vote and issue a "true bill", or it can take weeks or months.
Important to understand: I cannot stress enough the secrecy of grand juries. The only people allowed in the room are the grand jurors, the witness being questioned and the prosecutor questioning the witness. In my experience, not even the witness' attorney is allowed in to those proceedings.
These aren't mini-trials. By nature, they are more investigative. There is no defense attorney present, because there is no defendant.

They are simply a tool used - sort of a checks & balances - so that some rogue prosecutor can't decide on their own that there is enough evidence to arrest a suspect and order them to stand trial.
HTH