mysql> grant all on no_such_database.* to 'no_such_user'@'%' identified by 'some_password';
Query OK, 0 rows affected (0.00 sec)
No warning. No problem. This is real fun to debug.
Also, when you drop a database, grants aren't dropped. We found this out when it turned out we had over 1.5 million grants left in the database. This had an impact on performance.