The Fourth International Conference on Grey Literature (GL '99) in Washington, DC, in October 1999 defined grey literature as follows: "That which is produced on all levels of government, academics, business and industry in print and electronic formats, but which is not controlled by commercial publishers."
Grey literature is the unpublished, non-commercial, hard-to-find information that organizations such as professional associations, research institutes, think tanks, and government departments produce. It can be invaluable to your research: it is part of the overall evidence base and functions as an alternative source that may be used to overcome possible bias presented by published information.
From The Institute of Medicine:
Take action to address potentially biased reporting of research results.
Search grey literature databases, clinical trial registries, and other sources of unpublished information about studies.
From Western University Ontario Canada.
From The University of Alabama Birmingham. A Lister Hill Library Tutorial.