How to add a grid line at a specific location in matplotlib plot?

Yes. It's very simple. Use the set_[x|y]ticks methods of axes object and toggle the grid as normal:

import matplotlib.pyplot as plt
fig, ax = plt.subplots()
ax.set_yticks([0.2, 0.6, 0.8], minor=False)
ax.set_yticks([0.3, 0.55, 0.7], minor=True)
ax.yaxis.grid(True, which='major')
ax.yaxis.grid(True, which='minor')
plt.show()

To improve the answer of @tacaswell here's an example using the concept of axhline and tweaking it to look similar to a line grid. In this exapmle it's used a starting default grid only on the x-axis, but it's possible to add a grid also on the y-axis (or only on this axis) by simpy add ax.xaxis.grid(True) to the code.

First one simply start drawing a line at the desired position:

import matplotlib.pyplot as plt

fig, ax = plt.subplots()
ax.xaxis.grid(True)
ynew = 0.3
ax.axhline(ynew)

plt.show()

obtaining the following result

that is not very similar to a line grid.
By changing color and line width like below:

import matplotlib.pyplot as plt

fig, ax = plt.subplots()
ax.xaxis.grid(True)
ynew = 0.3
ax.axhline(ynew, color='gray', linewidth=0.5)

plt.show()

we obtain this, that now is in practice equal to a line grid.

If then we want also to add a tick and related label on the y-axis, in the position where the new line is:

import matplotlib.pyplot as plt
import numpy as np

fig, ax = plt.subplots()
ax.xaxis.grid(True)
ynew = 0.3
ax.axhline(ynew, color='gray', linewidth=0.5)

yt = ax.get_yticks()
yt=np.append(yt,ynew)

ax.set_yticks(yt)
ax.set_yticklabels(yt)

plt.show()

that leads to:

Oh no! Some approximation occurred and the label at 0.6 not represents exactly the number 0.6. Don't worry, we can fix that simply by rounding the label array like follow:

import matplotlib.pyplot as plt
import numpy as np

fig, ax = plt.subplots()
ax.xaxis.grid(True)
ynew = 0.3
ax.axhline(ynew, color='gray', linewidth=0.5)

yt = ax.get_yticks()
yt=np.append(yt,ynew)

ax.set_yticks(yt)
ax.set_yticklabels(np.round(yt,1))

plt.show()

and TA-DAAA :)

If you only want to put in a line or two you can use

ax.axhline(y, linestyle='--', color='k') # horizontal lines
ax.axvline(x, linestyle='--', color='k') # vertical lines

with line style and color (or all the rest of line/artist properties) set to what ever you want