Grey literature is, by one definition: "Information produced on all levels of government, academics, business and industry in electronic and print formats not controlled by commercial publishing i.e. where publishing is not the primary activity of the producing body." (Luxembourg, 1997 - Expanded in New York, 2004) So it's literature of all sorts, reports, papers etc., produced by a variety of sources, government agencies, special interest groups, educational agencies and so on. It often is very useful for a wide variety of research needs. It comes in both digital and print form, but digital is the most significant part.
We will be developing a grey literature collection soon on Lake Ontario for the Environmental Science Department, on the SUNY D-Space site.