We theoretically study second harmonic generation in nonlinear, GaAs gratings. We find large enhancement of conversion efficiency when the pump field excites the guided mode resonances of the grating. Under these circumstances the spectrum near the pump wavelength displays sharp resonances characterized by dramatic enhancements of local fields and favorable conditions for second-harmonic generation, even in regimes of strong linear absorption at the harmonic wavelength. In particular, in a GaAs grating pumped at 1064 nm, we predict second-harmonic conversion efficiencies approximately 5 orders of magnitude larger than conversion rates achievable in either bulk or etalon structures of the same material.