Grand Captain was the title used by the overall leader of the Warrior's Sons, before the disbandment of the Faith Militant. The Grand Captain answered to the High Septon. The Grand Captain was elected by the vote of the members of the order.
At the outbreak of the Faith Militant uprising in 41 AC, the Grand Captain of the Warrior's Sons was Ser Damon Morrigen, leader of the King's Landing chapter of the order. He famously agreed to a trial of seven with the newly proclaimed King Maegor I Targaryen. Only Maegor survived the trial, although he was badly injured.
Subsequently, in 43 AC the Warrior's Sons chose a new Grand Captain to replace the loss of Morrigen: Ser Joffrey Doggett, leader of the Lannisport chapter of the Warrior's Sons. Doggett commanded the surviving Warrior's Sons throughout the uprising and remained a major thorn in Maegor's side.
After Maegor's death, his successor Jaehaerys I Targaryen brought peace by negotiating with the faith to disband the Faith Militant - by extension ending the office of Grand Captain. Ser Joffrey had survived the war, but Jaehaerys then personally reconciled with him by appointing Joffrey to his new Kingsguard.