Grey Literature is essentially any document that hasn't gone through peer review for a publication. It can also include conference proceedings or doctoral thesis.
There are several formal definitions. The Twelfth International Conference on Grey Literature in Prague in 2010 arrived at the following definition:
"Grey literature stands for manifold document types produced on all levels of government, academics, business and industry in print and electronic formats that are protected by intellectual property rights, of sufficient quality to be collected and preserved by libraries and institutional repositories, but not controlled by commercial publishers; i.e. where publishing is not the primary activity of the producing body."