Hi,

The built in weights are the only ones available, even using VBA.

Jon Peltier has a page on make arbitary gridlines, although this is more
to do with spacing than line style.
http://peltiertech.com/Excel/Charts/ArbitraryGridlines.html

You don't say what style you where after but if it's heavy lines then
you can use the above technique and place 2 points very close together
to give the impression of thicker lines.

Another possiblity would be to use a custom marker. Create the required
line as an autoshape and then use CTRL+C to copy the shape and CTRL+V to
paste it as a marker on a xy scatter series. One major draw back of this
approach is the gridlines will then appear above other chart elements.

Cheers
Andy