Fundamental and higher harmonics of the AC magnetic susceptibility have been measured on a LaO_0.92F_0.08FeAs sample as a function of the temperature, at various amplitudes and frequencies of the AC magnetic field, with a small superimposed DC field parallel to the AC field. The granularity of the sample has been investigated and the inter-grain and intra-grain contributions have been clearly individuated looking at both the first and third harmonics. The vortex dynamics has been also analyzed, and a comparison with the magnetic behavior of both the MgB_2 and the cuprate superconductors has been performed. Some vortex dissipative phenomena, i.e. the thermally activated flux flow and the flux creep, have been detected in the presented measurements, similar to what obtained on YBCO. Nevertheless, although the general behavior is similar, several differences have been also evidenced between these different classes of superconductors, mainly in the third harmonics. We infer that different vortex dynamics have to be included into the analysis of the magnetic response in this iron-based new material.