WebGrid indexes are stored as an int (System.Integer32) data type.  Theoretically, this means that you can have up to 2,147,483,648 columns in your grid.

In practice, you should limit the number of columns you include.  More columns means more data, which eventually means slower performance.  Also, after a certain point, extra columns simply become "noise" to your users, rather than presenting useful information.  There's no hard-and-fast limit to either of these points, since these will vary greatly depending upon the needs of your application and the system resources available to both your client and server computers.