I do not know why your output is different /wrong. I took your example, fixed the syntax errors (may not be yours), and get the results I expected.
The following is the complete code. I got alert window each step of the way.
===================================
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<title></title>
<script src="jquery-1.2.6.js" type="text/javascript"></script>
<script language="javascript">
$(document).ready(function() {
$('#GridView1').each(function(index) {
alert(index);
});
$('#GridView1 thead').each(function(index) { alert(index); });
$('#GridView1 tbody').each(function(index){ alert("tbody " + index); });
$('#GridView1 tbody tr').each(function(index){ alert(index);});
});
</script>
</head>
<body>
<Table id="GridView1" class="tableText">
<THEAD>
</thead>
<TBODY>
<TR class="RowStyle"></tr>
<TR class="AlternatingRowStyle"></tr>
<TR class="RowStyle"></tr>
<TR class="AlternatingRowStyle"></tr>
<TR class="RowStyle"> </tr>
</tbody>
<table>
</body>
</html>