Bring 2 cups water to a boil in a large saucepan over medium heat; add okra, and cook 10 minutes. Remove okra with a slotted spoon, reserving liquid in pan; cool okra slightly, and coarsely chop.
Add remaining 2 cups water to reserved liquid; bring to a boil. Gradually stir in grits and salt; return to a boil. Cover, reduce heat, and simmer 5 to 7 minutes. Gradually whisk about one-fourth of hot grits into eggs; add to remaining hot mixture, whisking constantly. Whisk in butter. Stir in okra and cheese. Spoon into a lightly greased 11- x 7-inch baking dish.
Bake at 350° for 55 to 60 minutes or until set.
*2 (4-ounce) logs fresh goat cheese, crumbled, may be substituted for Cheddar cheese.