A creature can attempt to escape when it is grabbed. Other immobilizing effects might also let a creature try to escape.

Escape a Grab or Immobilizing Effect
         Action: Move action.
         Acrobatics or Athletics Check: The creature makes either an Acrobatics or an Athletics check. Normally, the immobilizing effect specifies the DC for the check. If no DC is specified, an Acrobatics check is opposed by the Reflex of the immobilizing creature or effect, and an Athletics check is opposed by its Fortitude.
         Against Multiple Grabbers: If the creature is trying to escape and is grabbed by more than one source at once, the creature makes a single check against the highest of the grab DCs. The DC increases by 2 for each grabber beyond the first, to a maximum increase of 8.
         Success: If the check succeeds, the immobilizing effect ends on the creature, which can then shift 1 square.

Published in Player's Handbook, page(s) 288, Rules Compendium, page(s) 243.