Grub 2 works fine with the Ubuntu entry, but I'm missing the Windows 8 entry. Windows 8 is on /dev/sdb with 2 partitions (sdb1, sdb2), Ubuntu is on /dev/sda.
Any advices for me?
Try to install the new version of Ubuntu (v. 14.10) and you should solve the problem, because it was wirtten to fix the problem of the UEFI boot introduced with the release of Win 8.
Moreover, check the model of your PC and be sure you can do that; for instance, if you own an HP/Compaq it is likely enough you cannot install 2 partitions on your PC cause of a building stuff.
Anyway, click here to find the right guide to the installation procedure.