In this video you can see how commercial wheatgrass is grown.
When you do grow wheatgrass at home, make sure it doesn't get moldy.
I think growing your own wheatgrass with real sunlight, on real soil and fresh air is always better, as long as it is free from bacterial and fungal contamination.
Commercial wheatgrass is always handy to have at hand when you are traveling or if you don't have time to grow your own. It's better to take the commercial version than none at all, since wheatgrass contains so many valuable nutrients.